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  • 标题:Multivariate elliptically contoured autoregressive process
  • 本地全文:下载
  • 作者:Taras Bodnar ; Arjun K. Gupta
  • 期刊名称:Statistica
  • 印刷版ISSN:1973-2201
  • 出版年度:2013
  • 卷号:73
  • 期号:3
  • 页码:303-316
  • DOI:10.6092/issn.1973-2201/4326
  • 语种:English
  • 出版社:Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
  • 摘要:In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-diagonal elements of the dispersion matrix are slowly varying in time.
  • 关键词:multivariate autoregressive process;elliptically contoured distribution;Stein-Haff
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