A Supplementary Mimeo to the Paper Titled 'the Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market'

20 Pages Posted: 5 Dec 2002

See all articles by Tim Brailsford

Tim Brailsford

Bond University

Jack H.W. Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

Abstract

This mimeo accompanies the paper by Brailsford, Penm and Terrell titled "The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market", which was published in Multinational Finance Journal, 5, 1, 35-58, 2001. In response to various matters raised by reviewers, and after further reflection on the original paper, this mimeo has been prepared. It provides supplementary information to that paper, and addresses the following issues: I. Background information on the selection of the optimal zero-non-zero (ZNZ) patterned vector autoregression (VAR) II. Problems of directly extending the use of the Yule-Walker relation for fitting ZNZ patterned VAR models III. Outline of how existing studies ignore the issue of estimating the covariance matrix IV. The standard least squares approach, GLS method and the maximum likelihood approach V. Different studies that employed the Yule-Walker equation to estimate a ZNZ patterned VAR VI. Comparison of the results with and without using the proposed covariance estimator VII. Comments on the example concerning the Hong Kong stock market and the foreign exchange market VIII. Comments on testing for serial correlation in residuals estimated from the ZNZ patterned VAR modelling.

JEL Classification: C10, C63, F30, G10

Suggested Citation

Brailsford, Timothy John and Penm, Jack and Terrell, R. Deane, A Supplementary Mimeo to the Paper Titled 'the Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market'. Available at SSRN: https://ssrn.com/abstract=349860 or http://dx.doi.org/10.2139/ssrn.349860

Timothy John Brailsford (Contact Author)

Bond University ( email )

Gold Coast, QLD 4229
Australia

HOME PAGE: http://www.bond.edu.au

Jack Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce ( email )

Canberra, Australian Capital Territory 0200
Australia
+61 (02) 61250535 (Phone)
+61 (02) 61250087 (Fax)

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management ( email )

Sir Roland Wilson Building (120)
Canberra, Australian Capital Territory 0200
Australia

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