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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2011"

AuteursH.P. Boswijk, R. van der Weide
TitelMethod of moments estimation of GO-GARCH models
TijdschriftJournal of Econometrics
Jaargang163
Jaar2011
Nummer1
Pagina's118-126
ISSN03044076
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingWe propose a new estimation method for the factor loading matrix in generalized orthogonal GARCH (GO-GARCH) models. The method is based on eigenvectors of suitably defined sample autocorrelation matrices of squares and cross-products of returns. The method is numerically more attractive than likelihood-based estimation. Furthermore, the new method does not require strict assumptions on the volatility models of the factors, and therefore is less sensitive to model misspecification. We provide conditions for consistency of the estimator, and study its efficiency relative to maximum likelihood estimation using Monte Carlo simulations. The method is applied to European sector returns.
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