Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/34432
Title: Joint modeling of cointegration and conditional heteroscedasticity with applications
Authors: Wong, H 
Li, WK
Ling, S
Keywords: Cointegration
Full rank maximum likelihood estimator
Least squares estimator
Partially nonstationary
Reduced rank MLE
Vector AR-GARCH model
Issue Date: 2005
Publisher: Kluwer Academic Publishers
Source: Annals of the Institute of Statistical Mathematics, 2005, v. 57, no. 1, p. 83-103 How to cite?
Journal: Annals of the Institute of Statistical Mathematics
Abstract: A cointegrated vector AR-GARCH time series model is introduced. Least squares estimator, full rank maximum likelihood estimator (MLE), and reduced rank MLE of the model are presented. Monte Carlo experiments are conducted to illustrate the finite sample properties of the estimators. Its applicability is then demonstrated with the modeling of international stock indices and exchange rates. The model leads to reasonable financial interpretations.
URI: http://hdl.handle.net/10397/34432
ISSN: 0020-3157 (print)
1572-9052 (online)
DOI: 10.1007/BF02506881
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