| dcterms.contributor.author | Storti, Giuseppe | |
| dc.date.accessioned | 2019-11-08T14:15:00Z | |
| dc.date.available | 2019-11-08T14:15:00Z | |
| dcterms.date.issued | 2006 | |
| dcterms.identifier.citation | Sorti, G. (2006). “Modelling asymmetric volatility dynamics by multivariate bl-garch models”. DISES Working Paper 3.177, Università degli Studi di Salerno, Dipartimento di Scienze Economiche e Statistiche. | it_IT |
| dcterms.identifier.issn | 1971-3029 | it_IT |
| dcterms.identifier.uri | http://elea.unisa.it:8080/xmlui/handle/10556/3859 | |
| dcterms.identifier.uri | http://dx.doi.org/10.14273/unisa-2081 | |
| dc.description.abstract | The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed
and its statistical properties are investigated. The model can be regarded
as a generalization to a multivariate setting of the univariate BLGARCH
model proposed by Storti and Vitale (2003a; 2003b). It is shown
how MBL-GARCH models allow to account for asymmetric effects in both
conditional variances and correlations. An EM algorithm for the maximum
likelihood estimation of the model parameters is provided. Furthermore, in
order to test for the appropriateness of the conditional variance and covariance
specifications, a set of robust conditional moments test statistics are
defined. Finally, the effectiveness of MBL-GARCH models in a risk management
setting is assessed by means of an application to the estimation of the
optimal hedge ratio in futures hedging. | it_IT |
| dcterms.format.extent | 54 p. | it_IT |
| dc.language.iso | en | it_IT |
| dc.relation.ispartof | Working Papers ; 3.177 | it_IT |
| dcterms.source | UniSa. Sistema Bibliotecario di Ateneo | it_IT |
| dcterms.subject | Multivariate GARCH | it_IT |
| dcterms.subject | Asymmetry | it_IT |
| dcterms.subject | Conditional correlation | it_IT |
| dcterms.subject | EM algorithm | it_IT |
| dcterms.subject | Robust conditional moment tests | it_IT |
| dcterms.subject | Futures hedging | it_IT |
| dcterms.title | Modelling asymmetric volatility dynamics by multivariate bl-garch models | it_IT |
| dcterms.type | Working Paper | it_IT |
