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  • 标题:Fourth moments of multivariate GARCH processes
  • 本地全文:下载
  • 作者:Christian M. HAFNER
  • 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
  • 关键词:multivariate GARCH, fourth moments, kurtosis, co-kurtosis
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