Utilizza questo identificativo per citare o creare un link a questo documento: http://elea.unisa.it/xmlui/handle/10556/3859

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.

È visualizzato nelle collezioni:

DiSES Working Papers

File in questo documento:

Non ci sono file allegati a questo documento

Visualizza tutti i metadati del documento

DSpace JSPUI

DSpace preserves and enables easy and open access to all types of digital content including text, images, moving images, mpegs and data sets