Efficient estimation of a multivariate multiplicative volatility model

Linton, Oliver and Hafner, Christian M. (2010) Efficient estimation of a multivariate multiplicative volatility model. Journal of Econometrics, 159 (1). pp. 55-73. ISSN 0304-4076

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Abstract

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We suggest various kernel-based estimation procedures for the parametric and nonparametric components, and derive the asymptotic properties thereof. For the parametric part of the model, we obtain the semiparametric efficiency bound. Our method is applied to a bivariate stock index series. We find that the univariate model of Engle and Rangel (2008) appears to be violated in the data whereas our multivariate model is more consistent with the data.

Item Type:	Article
Official URL:	http://www.elsevier.com/wps/find/journaldescriptio...
Additional Information:	© 2010 Elsevier B.V
Uncontrolled Keywords:	ISI, GARCH, kernel estimation, local stationarity, semiparametric
Library of Congress subject classification:	H Social Sciences > H Social Sciences (General) H Social Sciences > HA Statistics Q Science > QA Mathematics
Journal of Economic Literature Classification System:	C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
Sets:	Departments > Economics Collections > Economists Online Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) Research centres and groups > Financial Markets Group (FMG)
Rights:	http://www.lse.ac.uk/library/rights/LSERO.htm
Identification Number:	UT ISI:000282926000005
URL:	http://eprints.lse.ac.uk/29840/

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