Search Results - subject:"Conditional Covariance"

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2002

In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector … and Finance, No. 516 November 22, 2002 Abstract In this paper we derive conditions for the conditional covariance matrix …: conditional covariance matrix,multivariate GARCH,mul- tivariate volatility model,random coefficient model,volatility forecasting …

Persistent link: https://www.econbiz.de/10005649365

Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach

Jelena, Minović - In: South East European Journal of Economics and Business 5 (2010) 1, pp. 39-55

This article presents an empirical calculation of volatility and co-movements for selected securities listed at the Belgrade Stock Exchange (www.belex.rs). It applied multivariate GARCH (MGARCH) models to the analysis of comovements in the Serbian frontier financial market. For the empirical...

Persistent link: https://www.econbiz.de/10011008813