CCER讨论稿:On Estimation of Multivariate Semiparametric GARCH Filtered Copula Models

发布日期:2018-12-31 12:01:50    来源:北京大学国家发展研究院

E2018025                2018-12-31 

Xiaohong Chen

Yale University

Zhuo Huang

Peking University

Yanping Yi

Zhejiang University

Abstract

This paper considers estimating semiparametric copula-based multivariate dynamic models(Chen and Fan (2006)) in multiple stages. In the first stage, univariate semiparametric GARCH models are used to prefilter temporal dependence of individual financial series. In the second stage, filtered residuals are used to estimate nonparametric marginal distributions and copula dependence parameters. We propose joint estimation of marginal distributions and copula parameters via pseudo sieve maximum likelihood because it seems to give more precise estimates in real applications. Furthermore, we derive the first-order asymptotic effect of the semiparametric GARCH first stage on pseudo sieve MLE and two-step procedure.

 

JEL classification:  C14; C22; G32.

Key Words: Multivariate dynamic models;  Semiparametric inference;  Copula;  Pseudo sieve maximum likelihood.

讨论稿下载E2018025a
 

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