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dc.contributor.author
Conrad, Christian
dc.contributor.author
Karanasos, Menelaos
dc.date.accessioned
2017-11-23T15:42:45Z
dc.date.available
2017-06-12T17:17:02Z
dc.date.available
2017-11-23T15:42:45Z
dc.date.issued
2008-02
dc.identifier.uri
http://hdl.handle.net/20.500.11850/124099
dc.identifier.doi
10.3929/ethz-a-005552237
dc.description.abstract
This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model which allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility spillovers were ruled out by the assumption that all the coefficients of the model are non-negative, which is a sufficient condition for ensuring the positive definiteness of the conditional covariance matrix. In order to allow for negative feedback, we show that the positive definiteness of the conditional covariance matrix can be guaranteed even if some of the parameters are negative. Thus, we extend the results of Nelson and Cao (1992) and Tsai and Chan (2008) to a multivariate setting. For the bivariate case of order one we look into the consequences of adopting these less severe restrictions and find that the flexibility of the process is substantially increased. Our results are helpful for the model-builder, who can consider the unrestricted formulation as a tool for testing various economic theories.
en_US
dc.language.iso
en
en_US
dc.publisher
KOF Swiss Economic Institute, ETH Zurich
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
WIRTSCHAFTSTHEORIEN
en_US
dc.subject
Inequality constraints
en_US
dc.subject
Multivariate GARCH processes
en_US
dc.subject
ECONOMIC THEORIES
en_US
dc.subject
Volatility feedback
en_US
dc.title
Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
KOF Working Papers
ethz.journal.volume
189
en_US
ethz.size
25 p.
en_US
ethz.code.ddc
3 - Social sciences::330 - Economics
en_US
ethz.identifier.nebis
005552237
ethz.publication.place
Zürich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.date.deposited
2017-06-12T17:17:27Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366aba34c0648953
ethz.identifier.importid
imp593654f718db314055
ethz.ecolpid
eth:30134
ethz.ecitpid
pub:186542
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-26T14:35:05Z
ethz.rosetta.lastUpdated
2018-11-06T03:29:50Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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