On New Conditional Heteroskedasticity Model withCorrelation of Autoregressive Type

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Abstract

New econometric model of stock indexes joint dynamics has been introduced in this paper. The distinctive feature of the model is description of conditional correlation between time series using autoregressive type random process. Efficient calculation algorithm for parameters estimation has been developed for suggested model.

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K M Nazarenko

Moscow State Technological University STANKIN

Кафедра прикладной математики; ГОУ ВПО МГТУ «СТАНКИН»; Moscow State Technological University STANKIN

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Copyright (c) 2008 Назаренко К.М.

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