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Bowling Green State University, Bowling Green

Author

Listed:
  • Taras Bodnar

    (Humboldt-University of Berlin, Berlin - Germany)

  • Arjun K. Gupta

    (Bowling Green State University, Bowling Green - U.S.A.)

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.

Suggested Citation

  • Taras Bodnar & Arjun K. Gupta, 2013. "Bowling Green State University, Bowling Green," Statistica, Department of Statistics, University of Bologna, vol. 73(3), pages 303-316.
    • Handle: RePEc:bot:rivsta:v:73:y:2013:i:3:p:303-316
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    Cited by:

    1. Taras Bodnar & Arjun K. Gupta & Nestor Parolya, 2013. "Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix," Papers 1308.0931, arXiv.org, revised Mar 2014.

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