کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098284 | 1478687 | 2015 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Unfolded GARCH models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A new GARCH-type model for autoregressive conditional volatility, skewness, and kurtosis is proposed. The approach decomposes returns into their signs and absolute values, and specifies the joint distribution by combining a multiplicative error model for the absolute values, a dynamic binary choice model for the signs, and a copula function for their interaction. The conditional volatility and kurtosis are determined by innovations following a folded (or absolute) Student-t distribution with time-varying degrees of freedom, and separate time variation in conditional return skewness is achieved by allowing the copula parameter to be dynamic. Model estimation is performed with Bayesian methods using an adaptive Markov chain Monte Carlo algorithm. An empirical application to the returns on four major international stock market indices illustrates the statistical and economic significance of the new model for conditional higher moments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 58, September 2015, Pages 186-217
Journal: Journal of Economic Dynamics and Control - Volume 58, September 2015, Pages 186-217
نویسندگان
Xiaochun Liu, Richard Luger,