Multivariate elliptically contoured autoregressive process

Statistica

卷:73

Arjun K. Gupta¹  Taras Bodnar² 

[1] Bowling Green State University, Bowling Green;

[2] Humboldt-University of Berlin, Berlin;

关键词: multivariate autoregressive process;    elliptically contoured distribution;    Stein-Haff;   

DOI  :  10.6092/issn.1973-2201/4326

来源: DOAJ

【 摘 要 】

In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-diagonal elements of the dispersion matrix are slowly varying in time.

【 授权许可】

Unknown