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Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
The Review of Economics and Statistics
Vol. 85, No. 3 (Aug., 2003), pp. 735-747
Published by: The MIT Press
Stable URL: http://www.jstor.org/stable/3211710
Page Count: 13
You can always find the topics here!Topics: Matrices, Covariance, Estimators, Analytical forecasting, Financial portfolios, Statistical estimation, Stock markets, Statistical models, Estimation methods, Economic models
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This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the new estimator with a number of existing ones.
The Review of Economics and Statistics © 2003 The MIT Press