stationary time series and for standardized innovations of GARCH models. A simulation study demonstrates the efficacy of both …

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH … factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on … conditions, this is simply not fully diversifiable in arbitrary large portfolios. Non-GARCH memory properties arise at the …

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic …

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in … for GARCH models only, the basic idea may be applied to address the estimation procedure selection problem in a general …

GARCH model. We extend the univariate Markov-Switching GARCH of Haas, Mittnik and Paolella (2004) into a bivariate Markov …-switching GARCH model with Conditional Constant Correlation (CCC) speci…cation within each regime, though the correlation may change …