Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

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
  • Read Online (Free)
  • Download ($19.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
Preview not available

Abstract

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.

Page Thumbnails

  • Thumbnail: Page 
[735]
    [735]
  • Thumbnail: Page 
736
    736
  • Thumbnail: Page 
737
    737
  • Thumbnail: Page 
738
    738
  • Thumbnail: Page 
739
    739
  • Thumbnail: Page 
740
    740
  • Thumbnail: Page 
741
    741
  • Thumbnail: Page 
742
    742
  • Thumbnail: Page 
743
    743
  • Thumbnail: Page 
744
    744
  • Thumbnail: Page 
745
    745
  • Thumbnail: Page 
746
    746
  • Thumbnail: Page 
747
    747