Four Essays on Building Conditional Correlation GARCH Models.

Four Essays on Building Conditional Correlation GARCH Models.

  This thesis consists of four research papers. The main focus is on building the multivariate Conditional Correlation (CC-) GARCH models. In particular, emphasis lies on considering an extension of CC-GARCH models that allow for interactions or causality in conditional variances. In the first three...

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Bibliographic Details
Main Author: Nakatani, Tomoaki
Format: Doctoral Thesis
Language:English
Published: Handelshögskolan i Stockholm, Ekonomisk Statistik (ES) 2010
Subjects:
Financial econometrics
Multivariate GARCH
Conditional correlations
Causality in conditional variance
Model specification
Misspecification testing
Lagrange multiplier test
Monte Carlo simulation
R
Econometrics
Ekonometri
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-952
http://nbn-resolving.de/urn:isbn:978-91-7258-822-6

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-952
http://nbn-resolving.de/urn:isbn:978-91-7258-822-6

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