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Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
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引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
{"title":"Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation","authors":"Yongdeng Xu","doi":"10.1515/jtse-2022-0018","DOIUrl":"https://doi.org/10.1515/jtse-2022-0018","url":null,"abstract":"Abstract We introduce an ECCC-GARCH representation for the vector Multiplicative Error Model (vMEM) that enables maximum likelihood estimation using the multivariate normal distribution. We show via Monte Carlo simulations that the QML estimator possesses desirable small sample properties (towards unbiasedness and efficiency). In the empirical application, we firstly use a two-dimensional vMEM for the squared return and realized volatility, which nests the High-frEquency-bAsed VolatilitY (HEAVY) and Realized GARCH model. We show that the Realized GARCH model is a more appropriate specification for the dynamics of the return-volatility relationship. The second empirical application is a four-dimensional vMEM for volatility spillover effects in the four European stock markets. The results confirm interdependence across European markets and the relative strength of volatility spillovers increases in the post-2010 turmoil periods.","PeriodicalId":42470,"journal":{"name":"Journal of Time Series Econometrics","volume":"45 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139118337","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
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引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
{"title":"Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation","authors":"Yongdeng Xu","doi":"10.1515/jtse-2022-0018","DOIUrl":"https://doi.org/10.1515/jtse-2022-0018","url":null,"abstract":"Abstract We introduce an ECCC-GARCH representation for the vector Multiplicative Error Model (vMEM) that enables maximum likelihood estimation using the multivariate normal distribution. We show via Monte Carlo simulations that the QML estimator possesses desirable small sample properties (towards unbiasedness and efficiency). In the empirical application, we firstly use a two-dimensional vMEM for the squared return and realized volatility, which nests the High-frEquency-bAsed VolatilitY (HEAVY) and Realized GARCH model. We show that the Realized GARCH model is a more appropriate specification for the dynamics of the return-volatility relationship. The second empirical application is a four-dimensional vMEM for volatility spillover effects in the four European stock markets. The results confirm interdependence across European markets and the relative strength of volatility spillovers increases in the post-2010 turmoil periods.","PeriodicalId":42470,"journal":{"name":"Journal of Time Series Econometrics","volume":"45 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139122195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
{"title":"Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation","authors":"Yongdeng Xu","doi":"10.1515/jtse-2022-0018","DOIUrl":"https://doi.org/10.1515/jtse-2022-0018","url":null,"abstract":"Abstract We introduce an ECCC-GARCH representation for the vector Multiplicative Error Model (vMEM) that enables maximum likelihood estimation using the multivariate normal distribution. We show via Monte Carlo simulations that the QML estimator possesses desirable small sample properties (towards unbiasedness and efficiency). In the empirical application, we firstly use a two-dimensional vMEM for the squared return and realized volatility, which nests the High-frEquency-bAsed VolatilitY (HEAVY) and Realized GARCH model. We show that the Realized GARCH model is a more appropriate specification for the dynamics of the return-volatility relationship. The second empirical application is a four-dimensional vMEM for volatility spillover effects in the four European stock markets. The results confirm interdependence across European markets and the relative strength of volatility spillovers increases in the post-2010 turmoil periods.","PeriodicalId":42470,"journal":{"name":"Journal of Time Series Econometrics","volume":"45 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139123177","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
{"title":"Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation","authors":"Yongdeng Xu","doi":"10.1515/jtse-2022-0018","DOIUrl":"https://doi.org/10.1515/jtse-2022-0018","url":null,"abstract":"Abstract We introduce an ECCC-GARCH representation for the vector Multiplicative Error Model (vMEM) that enables maximum likelihood estimation using the multivariate normal distribution. We show via Monte Carlo simulations that the QML estimator possesses desirable small sample properties (towards unbiasedness and efficiency). In the empirical application, we firstly use a two-dimensional vMEM for the squared return and realized volatility, which nests the High-frEquency-bAsed VolatilitY (HEAVY) and Realized GARCH model. We show that the Realized GARCH model is a more appropriate specification for the dynamics of the return-volatility relationship. The second empirical application is a four-dimensional vMEM for volatility spillover effects in the four European stock markets. The results confirm interdependence across European markets and the relative strength of volatility spillovers increases in the post-2010 turmoil periods.","PeriodicalId":42470,"journal":{"name":"Journal of Time Series Econometrics","volume":"45 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139124234","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
{"title":"Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation","authors":"Yongdeng Xu","doi":"10.1515/jtse-2022-0018","DOIUrl":"https://doi.org/10.1515/jtse-2022-0018","url":null,"abstract":"Abstract We introduce an ECCC-GARCH representation for the vector Multiplicative Error Model (vMEM) that enables maximum likelihood estimation using the multivariate normal distribution. We show via Monte Carlo simulations that the QML estimator possesses desirable small sample properties (towards unbiasedness and efficiency). In the empirical application, we firstly use a two-dimensional vMEM for the squared return and realized volatility, which nests the High-frEquency-bAsed VolatilitY (HEAVY) and Realized GARCH model. We show that the Realized GARCH model is a more appropriate specification for the dynamics of the return-volatility relationship. The second empirical application is a four-dimensional vMEM for volatility spillover effects in the four European stock markets. The results confirm interdependence across European markets and the relative strength of volatility spillovers increases in the post-2010 turmoil periods.","PeriodicalId":42470,"journal":{"name":"Journal of Time Series Econometrics","volume":"45 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139112529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
{"title":"Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation","authors":"Yongdeng Xu","doi":"10.1515/jtse-2022-0018","DOIUrl":"https://doi.org/10.1515/jtse-2022-0018","url":null,"abstract":"Abstract We introduce an ECCC-GARCH representation for the vector Multiplicative Error Model (vMEM) that enables maximum likelihood estimation using the multivariate normal distribution. We show via Monte Carlo simulations that the QML estimator possesses desirable small sample properties (towards unbiasedness and efficiency). In the empirical application, we firstly use a two-dimensional vMEM for the squared return and realized volatility, which nests the High-frEquency-bAsed VolatilitY (HEAVY) and Realized GARCH model. We show that the Realized GARCH model is a more appropriate specification for the dynamics of the return-volatility relationship. The second empirical application is a four-dimensional vMEM for volatility spillover effects in the four European stock markets. The results confirm interdependence across European markets and the relative strength of volatility spillovers increases in the post-2010 turmoil periods.","PeriodicalId":42470,"journal":{"name":"Journal of Time Series Econometrics","volume":"45 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139113981","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
{"title":"Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation","authors":"Yongdeng Xu","doi":"10.1515/jtse-2022-0018","DOIUrl":"https://doi.org/10.1515/jtse-2022-0018","url":null,"abstract":"Abstract We introduce an ECCC-GARCH representation for the vector Multiplicative Error Model (vMEM) that enables maximum likelihood estimation using the multivariate normal distribution. We show via Monte Carlo simulations that the QML estimator possesses desirable small sample properties (towards unbiasedness and efficiency). In the empirical application, we firstly use a two-dimensional vMEM for the squared return and realized volatility, which nests the High-frEquency-bAsed VolatilitY (HEAVY) and Realized GARCH model. We show that the Realized GARCH model is a more appropriate specification for the dynamics of the return-volatility relationship. The second empirical application is a four-dimensional vMEM for volatility spillover effects in the four European stock markets. The results confirm interdependence across European markets and the relative strength of volatility spillovers increases in the post-2010 turmoil periods.","PeriodicalId":42470,"journal":{"name":"Journal of Time Series Econometrics","volume":"45 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139114247","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation 使用 ECCC-GARCH 表示法对向量乘法误差模型进行准最大似然估计
IF 0.8
Journal of Time Series Econometrics Pub Date : 2024-01-03 DOI: 10.1515/jtse-2022-0018
Yongdeng Xu
{"title":"Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation","authors":"Yongdeng Xu","doi":"10.1515/jtse-2022-0018","DOIUrl":"https://doi.org/10.1515/jtse-2022-0018","url":null,"abstract":"Abstract We introduce an ECCC-GARCH representation for the vector Multiplicative Error Model (vMEM) that enables maximum likelihood estimation using the multivariate normal distribution. We show via Monte Carlo simulations that the QML estimator possesses desirable small sample properties (towards unbiasedness and efficiency). In the empirical application, we firstly use a two-dimensional vMEM for the squared return and realized volatility, which nests the High-frEquency-bAsed VolatilitY (HEAVY) and Realized GARCH model. We show that the Realized GARCH model is a more appropriate specification for the dynamics of the return-volatility relationship. The second empirical application is a four-dimensional vMEM for volatility spillover effects in the four European stock markets. The results confirm interdependence across European markets and the relative strength of volatility spillovers increases in the post-2010 turmoil periods.","PeriodicalId":42470,"journal":{"name":"Journal of Time Series Econometrics","volume":"45 6","pages":""},"PeriodicalIF":0.8,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139115215","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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