Search Results - subject:"Diagonal Multivariate GARCH"

International Asset Pricing and the Benefits from World Market Diversification

Nilsson, Birger - 2002

This paper extends previous tests of the conditional CAPM using different asymmetric and non-diagonal multivariate … GARCH-M specifications for eight large national markets and the world market simultaneously. To solve the well …

Persistent link: https://www.econbiz.de/10013208428

International Asset Pricing and the Benefits from World Market Diversification

Nilsson, Birger - Nationalekonomiska Institutionen, Ekonomihögskolan - 2002

Persistent link: https://www.econbiz.de/10005419351

Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models

Karanasos, Menelaos - Department of Economics and Related Studies, University …

The purpose of this paper is to examine the covariance structure of multivariate GARCH (M-GARCH) models that have been introduced in the literature the last fifteen years, and have been greatly favoured by time series analysts and econometricians. In particular, we analyze the second moments of...

Persistent link: https://www.econbiz.de/10005523929