頁籤選單縮合
題 名 | Tests for Breaks in the Conditional Co-Movements of Asset Returns |
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作 者 | Andreou,Elena; Ghysels,Eric; | 書刊名 | Statistica Sinica |
卷 期 | 13:4 2003.10[民92.10] |
頁 次 | 頁1045-1073 |
分類號 | 319 |
關鍵詞 | Change-point tests; Conditional covariance; High-frequency financial data; Multivariate GARCH models; |
語 文 | 英文(English) |
英文摘要 | We propose procedures designed to uncover structural breaks in the co-movements of financial markets. A reduced form approach is introduced that can be considered as a two stage method for reducing dimensionality of multivariate heteroskedastic conditional volatility models through marginalization. The main advantage is that one can use returns normalized by volatility filters that are purely data-driven and construct general conditional covariance dynamic specifications. The main thrust of our procedure is to examine change-points in the co-movements of normalized returns. We document, using a ten year period of two representative high frequency FX series, that regression models with non-Gaussian errors describe adequately their co-movements. Change-points are detected in the conditional covariance of the DM/US$ and YN/US$ normalized returns over the decade 1986-1996. |
本系統中英文摘要資訊取自各篇刊載內容。