Multivariate regime–switching GARCH with an application to international stock markets
- We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value–at–Risk.
Author: | Markus HaasGND, Stefan MittnikORCiDGND |
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URN: | urn:nbn:de:hebis:30-53250 |
Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,08 |
Series (Serial Number): | CFS working paper series (2008, 08) |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2008 |
Year of first Publication: | 2008 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2008/03/03 |
Tag: | Conditional Volatility; Markov–Switching; Multivariate GARCH |
Issue: | Version January 2008 |
Page Number: | 48 |
HeBIS-PPN: | 195436113 |
Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
JEL-Classification: | C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!) |
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C51 Model Construction and Estimation | |
Licence (German): | Deutsches Urheberrecht |