Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
Dante Amengual,
Gabriele Fiorentini and
Enrique Sentana
Working Papers from CEMFI
Abstract:
Sequential maximum likelihood and GMM estimators of distributional parameters obtained from the standardised innovations of multivariate conditionally heteroskedastic dynamic regression models evaluated at Gaussian PML estimators preserve the consistency of mean and variance parameters while allowing for realistic distributions. We assess the efficiency of those estimators, and obtain moment conditions leading to sequential estimators as efficient as their joint maximum likelihood counterparts. We also obtain standard errors for the quantiles required in VaR and CoVaR calculations, and analyse the effects on these measures of distributional misspecification. Finally, we illustrate the small sample performance of these procedures through Monte Carlo simulations.
Keywords: Elliptical distributions; Efficient estimation; Systemic risk; Value at risk. (search for similar items in EconPapers)
JEL-codes: C13 C32 G11 (search for similar items in EconPapers)
Date: 2012-02
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
https://www.cemfi.es/ftp/wp/1201.pdf (application/pdf)
Related works:
Journal Article: Sequential estimation of shape parameters in multivariate dynamic models (2013) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2012_1201
Access Statistics for this paper
More papers in Working Papers from CEMFI Contact information at EDIRC.
Bibliographic data for series maintained by Araceli Requerey ().