Fourth Moment Structure of Multivariate GARCH Models

This article derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross products. Results are provided for the kurtosis and cokurtosis between components. Applications of the results include the definition of impulse response functions for kurtosis and cokurtosis, the derivation of the spectral density matrix of the squares and cross products, and a measure for causality in volatility. A bivariate exchange rate example illustrates the applications.

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Document type	Article de périodique (Journal article) – Article de recherche
Access type	Accès interdit
Publication date	2003
Language	Anglais
Journal information	"Journal of Financial Econometrics" - Vol. 1, no. 1, p. 26-54 (March 2003)
Peer reviewed	yes
Publisher	Oxford University Press ((United Kingdom) Oxford)
issn	1479-8409
e-issn	1479-8417
Publication status	Publié
Affiliation	Erasmus University Rotterdam - Econometric Institute
Keywords	Multivariate GARCH ; Fourth moments ; Kurtosis ; Cokurtosis ; Spherical distribution
Links	http://hdl.handle.net/2078/106456[Handle] https://doi.org/10.1093/jjfinec/nbg00[DOI]

See also
	[boreal:4201]	Fourth moments of multivariate GARCH processes