Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix) - HAL Accéder directement au contenu
Pré-publication, Document de travail Année : 2015

Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)

Résumé

We introduce two multivariate constant conditional correlation tests that require little knowledge of the functional relationship determining the conditional correlations. The first test is based on artificial neural networks and the second one is based on a Taylor expansion of each unknown conditional correlation. These new tests can be seen as general misspecification tests of a large set of multivariate GARCH-type models. We investigate the size and the power of these tests through Monte Carlo experiments. Moreover, we study their robustness to non-normality by simulating some models such as the GARCH−t and Beta−t−EGARCH models. We give some illustrative empirical examples based on financial data.
Fichier principal
Vignette du fichier
WP 2015 - Nr 16.pdf ( 675.54 Ko ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-01133751, version 1 (20-03-2015)

Identifiants

  • HAL Id : halshs-01133751 , version 1

Citer

Anne Péguin-Feissolle, Bilel Sanhaji. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix). 2015. ⟨halshs-01133751⟩
108 Consultations
492 Téléchargements
Dernière date de mise à jour le 28/04/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus