1995
DOI: 10.1017/s0266466600009063 View full text |Buy / Rent full text
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Abstract: This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient conditions for covariance stationarity are presented. Identification… Show more

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