使用双曲线加权移动平均线的简单多变量条件协方差动力学

Q3 Mathematics

Journal of Econometric Methods Pub Date : 2020-10-07 DOI:10.1515/jem-2020-0004

H. Kawakatsu

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引用次数: 0

摘要

摘要本文考虑了一类具有标量权值的多元ARCH模型。提出了一种新的双曲加权移动平均(HWMA)规范来模拟EWMA模型。尽管标量权重模型存在动力学上的限制，但该模型在处理维数问题方面具有许多优点。经验应用表明，(伪)样本外多步预测可以比DCC模型更准确。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages

Abstract This paper considers a class of multivariate ARCH models with scalar weights. A new specification with hyperbolic weighted moving average (HWMA) is proposed as an analogue of the EWMA model. Despite the restrictive dynamics of a scalar weight model, the proposed model has a number of advantages that can deal with the curse of dimensionality. The empirical application illustrates that the (pseudo) out-of-sample multistep forecasts can be surprisingly more accurate than those from the DCC model.

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来源期刊

Journal of Econometric Methods Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

2.20

自引率

0.00%

发文量