Impacto
Downloads
Downloads per month over past year
Allen, David E. and McAleer, Michael (2017) Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 22, 2017, ISSN: 2341-2356 ]
Preview |
PDF
Creative Commons Attribution Non-commercial Share Alike. 987kB |
Abstract
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate GARCH, specifically, the Full BEKK model, and demonstrate that Full BEKK which, in practice, is estimated almost exclusively, has no underlying stochastic process, regularity conditions, or asymptotic properties. Diagonal BEKK (DBEKK) does not suffer from these limitations, and hence provides a suitable benchmark. We use simulated financial returns series to contrast estimates of the conditional variances and covariances from DBEKK and BEKK. The results of non-parametric tests suggest evidence of considerable bias in the Full BEKK estimates. The results of quantile regression analysis show there is a systematic relationship between the two sets of estimates as we move across the quantiles. Estimates of conditional variances from Full BEKK, relative to those from DBEKK, are lower in the left tail and higher in the right tail.
Item Type: | Working Paper or Technical Report |
---|---|
Uncontrolled Keywords: | DBEKK, BEKK, Regularity Conditions, Asymptotic Properties, Non-Parametric, Bias, Qantile regression. |
Subjects: | Social sciences > Economics > Econometrics Social sciences > Economics > Finance |
JEL: | C13, C21, C58 |
Series Name: | Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE) |
Volume: | 2017 |
Number: | 22 |
ID Code: | 44631 |
Deposited On: | 18 Sep 2017 10:53 |
Last Modified: | 18 Sep 2017 10:53 |
Origin of downloads
Repository Staff Only: item control page