GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique

No 07-1, Working Papers from Federal Reserve Bank of Boston

Abstract: This paper presents a new method for identifying triangular systems of time-series data. Identification is the product of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself both by allowing for a time-varying covariance and by not requiring a complete estimation of the GARCH parameters. Estimation follows OLS and standard univariate GARCH and ARMA techniques, or GMM. A Monte Carlo study of the GMM estimator is provided. The identification method is then applied in testing a conditional version of the CAPM. ; Quantitative Analysis Unit Working Paper QAU07-2

Keywords: Capital assets pricing model; Time-series analysis (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fmk
Date: Written 2006
View list of references

Downloads: (external link)
http://www.bos.frb.org/economic/wp/wp2007/wp0701.htm (text/html)
http://www.bos.frb.org/economic/wp/wp2007/wp0701.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Boston
Contact information at EDIRC.
Series data maintained by Diane Rosenberger ().