A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
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具有X、正则性和渐近性的多元非对称长记忆条件波动模型
DOI：
10.2991/icefs-17.2017.1
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
M. McAleer
中科院分区：
文献类型：
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作者：
Manabu Asai;M. McAleer
本文利用动态条件相关性、适当的正则性条件和相关的渐近理论，导出了一个具有外生变量（X）的多元非对称长记忆条件波动率模型，即MALMX模型。这使得能够检查内部一致性，并允许根据经验估计得出有效的统计推断。讨论了向量随机系数自回归过程的正则性条件和渐近性质，并简单地解释了为什么只有对角BEKK模型具有正则性条件和渐近性质，而Hadamard模型、三角模型和全BEKK模型不具有正则性条件和渐近性质.讨论了Baba等（1985）和Engle和Kroner（1995）的对角BEKK模型、Ling和McAleer（2003）的VARMA-Gesterday模型以及McAleer等（2009）的VARMA-AGesterday模型等各种特殊情况。似乎没有一个推导出一个单变量条件波动率模型与外生变量（X），具有动态条件相关性，适当的正则性条件，以及相关的渐近理论。因此，具有正则性条件和渐近理论的具有外生变量（X）的多元条件波动率模型的推导似乎是现有文献的重要扩展。
The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. The underlying vector random coefficient autoregressive process, which has well established regularity conditions and associated asymptotic properties, is discussed, and a simple explanation is given as to why only the diagonal BEKK model, and not the Hadamard, triangular or full BEKK models, has regularity conditions and asymptotic properties. Various special cases, including the diagonal BEKK model of Baba et al. (1985) and Engle and Kroner (1995), VARMA- GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of McAleer et al. (2009), are discussed. There does not seem to have been a derivation of a univariate conditional volatility model with exogenous variables (X) that has dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model with exogenous variables (X) that has regularity conditions and asymptotic theory would seem to be a significant extension of the existing literature.
多元随机波动率、杠杆率和新闻影响面
DOI：
--
发表时间：
2009
期刊：
Econometrics Journal 12
影响因子：
--
作者：
Asai;Manabu
通讯作者：
Manabu