A Coordinate Free Conditional Distributions in Multivariate GARCH Models

Mateusz Pipień

Chapter 7 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 99-111 from University of Lodz

Abstract: Pipień in Chapter 7 presented the results of modelling fat tails and skewness in univariate GARCH setting. The focus was on empirical importance of some generalizations proposed for multivariate conditional distribution in BEKK model. The empirical research has shown that the considered distributions are promising in terms of hedging strategies.

Keywords: Coordinate free conditional distribution; Multivariate GARCH model; BEKK model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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