Matches in SemOpenAlex for { <https://semopenalex.org/work/W2953399757> ?p ?o ?g. }
Showing items 1 to 94 of
94
with 100 items per page.
- W2953399757 endingPage "582" @default.
- W2953399757 startingPage "565" @default.
- W2953399757 abstract "Abstract We derive sufficient conditions for the existence of second and fourth moments of Markov switching multivariate generalized autoregressive conditional heteroscedastic processes in the general vector specification. We provide matrix expressions in closed form for such moments, which are obtained by using a Markov switching vector autoregressive moving-average representation of the initial process. These expressions are shown to be readily programmable in addition of greatly reducing the computational cost. As theoretical applications of the results, we derive the spectral density matrix of the squares and cross products, propose a new definition of multivariate kurtosis measure to recognize heavy-tailed features in financial real data, and provide a matrix expression in closed form of the impulse-response function for the volatility. An empirical example illustrates the results." @default.
- W2953399757 created "2019-07-12" @default.
- W2953399757 creator A5085808393 @default.
- W2953399757 date "2019-07-06" @default.
- W2953399757 modified "2023-10-16" @default.
- W2953399757 title "Fourth Moment Structure of Markov Switching Multivariate GARCH Models" @default.
- W2953399757 cites W1963574366 @default.
- W2953399757 cites W1977480757 @default.
- W2953399757 cites W1979575715 @default.
- W2953399757 cites W1999996900 @default.
- W2953399757 cites W2000031724 @default.
- W2953399757 cites W2002513711 @default.
- W2953399757 cites W2007926406 @default.
- W2953399757 cites W2012705547 @default.
- W2953399757 cites W2013306999 @default.
- W2953399757 cites W2017097671 @default.
- W2953399757 cites W2075140816 @default.
- W2953399757 cites W2077632979 @default.
- W2953399757 cites W2086728776 @default.
- W2953399757 cites W2106606323 @default.
- W2953399757 cites W2120428183 @default.
- W2953399757 cites W2143129852 @default.
- W2953399757 cites W2147475936 @default.
- W2953399757 cites W2540140152 @default.
- W2953399757 cites W3122537114 @default.
- W2953399757 cites W3123393297 @default.
- W2953399757 cites W3204741519 @default.
- W2953399757 cites W4241115065 @default.
- W2953399757 doi "https://doi.org/10.1093/jjfinec/nbz020" @default.
- W2953399757 hasPublicationYear "2019" @default.
- W2953399757 type Work @default.
- W2953399757 sameAs 2953399757 @default.
- W2953399757 citedByCount "3" @default.
- W2953399757 countsByYear W29533997572020 @default.
- W2953399757 countsByYear W29533997572021 @default.
- W2953399757 countsByYear W29533997572022 @default.
- W2953399757 crossrefType "journal-article" @default.
- W2953399757 hasAuthorship W2953399757A5085808393 @default.
- W2953399757 hasBestOaLocation W29533997572 @default.
- W2953399757 hasConcept C101104100 @default.
- W2953399757 hasConcept C105795698 @default.
- W2953399757 hasConcept C106487976 @default.
- W2953399757 hasConcept C134306372 @default.
- W2953399757 hasConcept C149782125 @default.
- W2953399757 hasConcept C159877910 @default.
- W2953399757 hasConcept C159985019 @default.
- W2953399757 hasConcept C161584116 @default.
- W2953399757 hasConcept C166963901 @default.
- W2953399757 hasConcept C192562407 @default.
- W2953399757 hasConcept C23922673 @default.
- W2953399757 hasConcept C28826006 @default.
- W2953399757 hasConcept C33923547 @default.
- W2953399757 hasConcept C72279823 @default.
- W2953399757 hasConcept C91602232 @default.
- W2953399757 hasConcept C98763669 @default.
- W2953399757 hasConceptScore W2953399757C101104100 @default.
- W2953399757 hasConceptScore W2953399757C105795698 @default.
- W2953399757 hasConceptScore W2953399757C106487976 @default.
- W2953399757 hasConceptScore W2953399757C134306372 @default.
- W2953399757 hasConceptScore W2953399757C149782125 @default.
- W2953399757 hasConceptScore W2953399757C159877910 @default.
- W2953399757 hasConceptScore W2953399757C159985019 @default.
- W2953399757 hasConceptScore W2953399757C161584116 @default.
- W2953399757 hasConceptScore W2953399757C166963901 @default.
- W2953399757 hasConceptScore W2953399757C192562407 @default.
- W2953399757 hasConceptScore W2953399757C23922673 @default.
- W2953399757 hasConceptScore W2953399757C28826006 @default.
- W2953399757 hasConceptScore W2953399757C33923547 @default.
- W2953399757 hasConceptScore W2953399757C72279823 @default.
- W2953399757 hasConceptScore W2953399757C91602232 @default.
- W2953399757 hasConceptScore W2953399757C98763669 @default.
- W2953399757 hasFunder F4320306953 @default.
- W2953399757 hasIssue "4" @default.
- W2953399757 hasLocation W29533997571 @default.
- W2953399757 hasLocation W29533997572 @default.
- W2953399757 hasOpenAccess W2953399757 @default.
- W2953399757 hasPrimaryLocation W29533997571 @default.
- W2953399757 hasRelatedWork W2124214840 @default.
- W2953399757 hasRelatedWork W2182184467 @default.
- W2953399757 hasRelatedWork W2575582516 @default.
- W2953399757 hasRelatedWork W2913923655 @default.
- W2953399757 hasRelatedWork W3123446536 @default.
- W2953399757 hasRelatedWork W3124905861 @default.
- W2953399757 hasRelatedWork W3124924388 @default.
- W2953399757 hasRelatedWork W3138603722 @default.
- W2953399757 hasRelatedWork W1635207931 @default.
- W2953399757 hasRelatedWork W2529078044 @default.
- W2953399757 hasVolume "19" @default.
- W2953399757 isParatext "false" @default.
- W2953399757 isRetracted "false" @default.
- W2953399757 magId "2953399757" @default.
- W2953399757 workType "article" @default.