NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL

DOI10.1017/S0266466609990120zbMath1195.91177OpenAlexW3123447553MaRDI QIDQ3577703

Christian Conrad, Menelaos Karanasos

Publication date: 23 July 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990120

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Uses Software

• FinTS

Cites Work

• Testing multivariate distributions in GARCH models
• The second moment and the autocovariance function of the squared errors of the GARCH model
• Generalized autoregressive conditional heteroscedasticity
• ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
• HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
• Variance (Non) Causality in Multivariate GARCH
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model
• A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
• Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
• A Note on Non‐Negative Arma Processes
• AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE