期刊名称:CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度:2001
卷号:2001
出版社:Center for Operations Research and Econometrics (UCL), Louvain
摘要:This paper derives conditions for the existence of fourth moments of multivariate
GARCH processes in the general vector specification and gives explicit results for
the fourth moments and autocovariances of the squares and cross-products. Results
are provided for the kurtosis and co-kurtosis between components. Applications
of the results include the definition of impulse response functions for kurtosis and
co-kurtosis, the derivation of the spectral density matrix of the squares and cross-
products, and a measure for causality in volatility. A bivariate exchange rate ex-
ample illustrates the applications