Estimation of the linkage matrix in O-GARCH model and GO-GARCH model

We propose new estimation methods for the factor loading matrix in modeling multivariate volatility processes. The key step of the methods is based on the weighted scatter estimators, which does not involve optimizing any objective function and was embedded with robust estimation properties. The method can therefore be easily applied to high-dimensional systems without running into computational problems. The estimation is proved to be consistent and the asymptotic distribution is derived. We compare the performance with other estimation methods and demonstrate its superiority when using both simulated data as well as real-world case studies.

Grantor dc:publisher

Temple University. Libraries

Year dc:date.issued

2010

Author dc:creator

• Zheng, Lingyu

Advisor dc:contributor.advisor

• Wei, William W. S.

Committee members dc:contributor.committeemember

• Delaney, James Dillon
• Raghavarao, Damaraju
• Singh, Jagbir, Dr.

• Statistics
• Extended Garch Model
• Influence Function
• Multivariate Volatility Process
• Robust Estimation

Statement dc:rights

• IN COPYRIGHT- This Rights Statement can be used for an Item that is in copyright. Using this statement implies that the organization making this Item available has determined that the Item is in copyright and either is the rights-holder, has obtained permission from the rights-holder(s) to make their Work(s) available, or makes the Item available under an exception or limitation to copyright (including Fair Use) that entitles it to make the Item available.

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Language dc:language.iso

eng

Dc Identifier Other

864885137

OAI identifier oai:identifier

oai:scholarshare.temple.edu:20.500.12613/3940