Abstract

http://ssrn.com/abstract=1296437
 
 

References (15)



 
 

Citations (46)



 


 



Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing


Zhuanxin Ding


Russell Investments

Robert F. Engle


New York University - Leonard N. Stern School of Business - Department of Economics; New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

May 2001

NYU Working Paper No. S-DRP-01-07

Abstract:     
A new representation of the diagonal Vech model is given using the Hadamard product. Sufficient conditions on parameter matrices are provided to ensure the positive definiteness of covariance matrices from the new representation. Based on this, some new and simple models are discussed. A set of diagnostic tests for multivariate ARCH models is proposed. The tests are able to detect various model misspecifications by examing the orthogonality of the squared normalized residuals. A small Monte-Carlo study is carried out to check the small sample performance of the test. An empirical example is also given as guidance for model estimation and selection in the multivariate framework. For the specific data set considered, it is found that the simple one and two parameter models and the constant conditional correlation model perform fairly well.

Number of Pages in PDF File: 18

Keywords: conditional covariance, Multivariate ARCH, Hadamard product, M-test

working papers series





Download This Paper

Date posted: November 7, 2008  

Suggested Citation

Ding, Zhuanxin and Engle, Robert F., Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing (May 2001). NYU Working Paper No. S-DRP-01-07. Available at SSRN: http://ssrn.com/abstract=1296437

Contact Information

Zhuanxin Ding
Russell Investments ( email )
909 A Street
Tacoma, WA 98402
United States
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics ( email )
269 Mercer Street
New York, NY 10003
United States
New York University (NYU) - Department of Finance
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,087
Downloads: 264
Download Rank: 29,532
References:  15
Citations:  46

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.313 seconds