Multivariate elliptically contoured autoregressive process

Autor:	Taras Bodnar, Arjun K. Gupta
Jazyk:	angličtina
Rok vydání:	2014
Předmět:	multivariate autoregressive process elliptically contoured distribution Stein-Haff Statistics HA1-4737
Zdroj:	Statistica, Vol 73, Iss 3, Pp 303-316 (2014)
Druh dokumentu:	article
ISSN:	0390-590X 1973-2201
DOI:	10.6092/issn.1973-2201/4326
Popis:	In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-diagonal elements of the dispersion matrix are slowly varying in time.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/415315f1ffd949ad8537b3aeae77f563 Zobrazit plný text záznamu View record in DOAJ