Bowling Green State University, Bowling Green

Taras Bodnar () and Arjun K. Gupta ()
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Taras Bodnar: Humboldt-University of Berlin, Berlin - Germany
Arjun K. Gupta: Bowling Green State University, Bowling Green - U.S.A.

Statistica, 2013, vol. 73, issue 3, 303-316

Abstract: In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-diagonal elements of the dispersion matrix are slowly varying in time.

Keywords: multivariate autoregressive process; elliptically contoured distribution; Stein-Haff (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:73:y:2013:i:3:p:303-316

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