Positivity conditions for a bivariate autoregressive volatility specification

Christian Gourieroux

doi:10.1093/jjfinec/nbm010

Positivity conditions for a bivariate autoregressive volatility specification

Christian Gourieroux

University of Toronto

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

5 Citations (Scopus)

Résumé

We derive necessary and sufficient conditions for the positive definiteness of the predicted volatility matrix in a bivariate autoregressive volatility specification. These nonlinear inequality restrictions have strong implications in terms of causality between volatilities and covolatilities.

langue originale	Anglais
Pages (de - à)	624-636
Nombre de pages	13
journal	Journal of Financial Econometrics
Volume	5
Numéro de publication	4
Les DOIs	https://doi.org/10.1093/jjfinec/nbm010
état	Publié - 1 déc. 2007
Modification externe	Oui

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10.1093/jjfinec/nbm010

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abstract = "We derive necessary and sufficient conditions for the positive definiteness of the predicted volatility matrix in a bivariate autoregressive volatility specification. These nonlinear inequality restrictions have strong implications in terms of causality between volatilities and covolatilities.",

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KW - GARCH model

KW - Nonlinear causality

KW - Stochastic volatility

KW - Wishart process

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DO - 10.1093/jjfinec/nbm010

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Positivity conditions for a bivariate autoregressive volatility specification

Résumé

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