PhD Lunch Seminars Amsterdam

Yang Liu (University of Amsterdam)
Tuesday, 21 October 2014

In this paper, we develop a class of multivariate volatility models with common factors in the volatility series, based on the GAS framework of Creal et al. (2011). We discuss identification of the models, and compare the properties to those of the class of the factor GARCH models. Next, we study the properties of maximum likelihood coefficient estimators and likelihood ratio tests for the number of common factors. The accuracy of these asymptotic approximations is studied in a number of Monte Carlo experiments. The methods are ap- plied in a number of empirical examples. Joint with Peter Boswijk.

Discussant: Andries van Vlodrop (VU University Amsterdam)