Kenneth F Kroner
Biographic Data
| ID | 10730308 |
|---|---|
| NAME | Kenneth F Kroner |
| GIVEN NAMES | Kenneth F |
| FAMILY NAME | Kroner |
| SIGNATURE | KRONER K F |
| AFFILIATIONS | Northwestern University |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 1995 |
| H-INDEX | 0 |
Multivariate Simultaneous Generalized ARCH
This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient con…
ARCH modeling in finance
No prominent works on this page.
ARCH modeling in finance
Multivariate Simultaneous Generalized ARCH
This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient con…
Arch (2 works) · Econometrics (2 works) · Financial Risk and Volatility Modeling (2 works) · Market Dynamics and Volatility (2 works) · Mathematics (2 works) · Statistics (2 works) · Applied Mathematics (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Autoregressive model (1 work) · Capital asset pricing model (1 work)