Generalized method of moment estimation of multivariate multifractal models Liu, Ruipeng and Lux, Thomas 2017, Generalized method of moment estimation of multivariate multifractal models, Economic Modelling, pp. 1-13, doi: 10.1016/j.econmod.2016.11.010. Attached Files Name Description MIMEType Size Downloads Title Generalized method of moment estimation of multivariate multifractal models Author(s) Liu, Ruipeng Lux, Thomas Journal name Economic Modelling Start page 1 End page 13 Total pages 13 Publisher Elsevier Place of publication Amsterdam, The Netherlands Publication date 2017-01-06 ISSN 0264-9993 Keyword(s) Multivariate Multifractal Long memory GMM estimation Summary Multifractal processes have recently been introduced as a new tool for modeling the stylized facts of financial markets and have been found to consistently provide certain gains in performance over basic volatility models for a broad range of assets and for various risk management purposes. Due to computational constraints, multivariate extensions of the baseline univariate multifractal framework are, however, still very sparse so far. In this paper, we introduce a parsimoniously designed multivariate multifractal model, and we implement its estimation via a Generalized Methods of Moments (GMM) algorithm. Monte Carlo studies show that the performance of this GMM estimator for bivariate and trivariate models is similar to GMM estimation for univariate multifractal models. An empirical application shows that the multivariate multifractal model improves upon the volatility forecasts of multivariate GARCH over medium to long forecast horizons. Notes In press Language eng DOI 10.1016/j.econmod.2016.11.010 Field of Research 1402 Applied Economics 1403 Econometrics 1502 Banking, Finance And Investment Socio Economic Objective 970114 Expanding Knowledge in Economics HERDC Research category C1 Refereed article in a scholarly journal ERA Research output type C Journal article Copyright notice ©2016 Elsevier B.V. Persistent URL http://hdl.handle.net/10536/DRO/DU:30090957 Document type: Journal Article Collection: Department of Economics Related Links Link Description Connect to Elements publication management system Go to link with your DU access privileges   Connect to published version Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Wed, 01 Feb 2017, 08:32:47 EST Wed, 01 Feb 2017, 08:34:57 EST Wed, 05 Apr 2017, 11:45:13 EST Thu, 06 Apr 2017, 05:01:15 EST Thu, 06 Apr 2017, 06:08:07 EST Fri, 21 Apr 2017, 13:50:13 EST Mon, 19 Jun 2017, 11:02:49 EST Mon, 19 Jun 2017, 11:04:54 EST Mon, 19 Jun 2017, 11:06:01 EST Thu, 07 Sep 2017, 15:01:46 EST Fri, 08 Sep 2017, 08:28:43 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 22 Abstract Views, 3 File Downloads  -  Detailed Statistics Created: Wed, 05 Apr 2017, 11:45:13 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.