Autori
Paruolo, Paolo
Caporin, Massimiliano

Titolo
Multivariate ARCH with spatial effects for stocks sector and size
Periodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricerca
Anno: 2005 - Fascicolo: 13 - Pagina iniziale: 1 - Pagina finale: 39

This paper applies a new spatial approach for the specification of multivariate GARCH models, called Spatial Effects in ARCH, SEARCH. We consider spatial dependence associated with industrial sectors and capitalization size. This parametrization extends current feasible specifications for large scale GARCH models, keeping the numbers of parameters linear as a function of the number of assets. An application to daily returns on 150 stocks from the NYSE for the period January 1994 to June 2001 shows the benefits of the present specification when compared to alternative specifications.



Testo completo: http://eco.uninsubria.it/dipeco/quaderni/files/QF2005_13.pdf

Esportazione dati in Refworks (solo per utenti abilitati)