Search Results - subject:"Diagonal VECH Model"

GDP Growth and the Interdependency of Volatility Spillovers

Karunanayake, Indika; Valadkhani, Abbas; O’Brien, Martin - Volkswirtschaftliche Fakultät, … - 2012

This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH)...

Persistent link: https://www.econbiz.de/10011260048

GDP growth and the interdependency of volatility spillovers

Karunanayake, Indika; Valadkhani, Abbas; O'Brien, Martin - In: Australasian accounting business and finance journal : AABF 6 (2012) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10010244294

Flexible multivariate GARCH modeling with an application to international stock markets

Ledoit, Olivier; Clara, Pedro Santa; Wolf, Michael - Department of Economics and Business, Universitat … - 2001

Multivariate GARCH(1,1) model. The problem is that the estimation of the general Diagonal-Vech model model is numerically …

Persistent link: https://www.econbiz.de/10005772093