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Title: A suggestion for constructing a large time-varying conditional covariance matrix
Authors: Gibson, Heather D.
Hall, Stephen G.
Tavlas, George S.
First Published: 28-Apr-2017
Publisher: Elsevier
Citation: Economics Letters, 2017, 156, pp. 110-113 (4)
Abstract: The construction of large conditional covariance matrices has posed a problem in the empirical literature because the direct extension of the univariate GARCH model to a multivariate setting produces large numbers of parameters to be estimated as the number of equations rises. A number of procedures have previously aimed to simplify the model and restrict the number of parameters, but these procedures typically involve either invalid or undesirable restrictions. This paper suggests an alternative way forward, based on the GARCH approach, which allows conditional covariance matrices of unlimited size to be constructed. The procedure is computationally straightforward to implement. At no point in the procedure is it necessary to estimate anything other than a univariate GARCH model.
DOI Link: 10.1016/j.econlet.2017.04.020
ISSN: 0165-1765
eISSN: 1873-7374
Embargo on file until: 28-Oct-2018
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © 2017, Elsevier. Deposited with reference to the publisher’s open access archiving policy.
Description: The file associated with this record is under embargo until 18 months after publication, in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.
Appears in Collections:Published Articles, Dept. of Economics

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