G2TT
来源类型Discussion paper
规范类型论文
来源IDDP5165
DP5165 Globalization and Emerging Markets: With or Without Crash?
Philippe Martin; Helene Rey
发表日期2005-08-23
出版年2005
语种英语
摘要We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the information matrix. We also derive tests for the null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components, from which we obtain more powerful one-sided versions. Finally, we present an empirical application to five NASDAQ sectorial stock returns that indicates that their conditional distribution is asymmetric and leptokurtic, which can be successfully exploited for risk management purposes.
主题Financial Economics
关键词Inequality constraints Kurtosis Multivariate normality test Skewness Student t Supremum test Tail dependence
URLhttps://cepr.org/publications/dp5165
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/534050
推荐引用方式
GB/T 7714
Philippe Martin,Helene Rey. DP5165 Globalization and Emerging Markets: With or Without Crash?. 2005.
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