Positivity Conditions for a Bivariate Autoregressive Volatility Specification

We derive necessary and sufficient conditions for the positive definiteness of the predicted volatility matrix in a bivariate autoregressive volatility specification. These nonlinear inequality restrictions have strong implications in terms of causality between volatilities and covolatilities. Copyright , Oxford University Press.

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Year of publication:	2007
Authors:	Gourieroux, C.
Published in:	Journal of Financial Econometrics. - Society for Financial Econometrics - SoFiE, ISSN 1479-8409. - Vol. 5.2007, 4, p. 624-636
Publisher:	Society for Financial Econometrics - SoFiE

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008694416