TEL  Vol.9 No.5 , June 2019
Erratum to “Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83-99]
ABSTRACT
The original online version of this article (Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83-99]. https://doi.org/10.4236/tel.2019.91008) unfortunately contains some mistakes. The author wishes to correct the errors.

Cite this paper
Aftab, H. , Beg, R. , Sun, S. and Zhou, Z. (2019) Erratum to “Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83-99]. Theoretical Economics Letters, 9, 1393-1410. doi: 10.4236/tel.2019.95090.
References
[1]   McAleer, M., Hoti, S. and Chan, F. (2009) Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility. Econometric Reviews, 28, 422-440.
https://doi.org/10.1080/07474930802467217

[2]   Black, F. (1976) Studies of Stock Price Volatility Changes. In: Proceedings of the 1976 Meeting of the Business and Economic Statistics, American Statistical Association, Washington DC, 177-181.

[3]   Engle, R.F. (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 987-1007.
https://doi.org/10.2307/1912773

[4]   Bollerslev, T. (1986) Generalized Autoregressive Conditional Hetroskedasticity. Journal of Econometrics, 31, 307-327.
https://doi.org/10.1016/0304-4076(86)90063-1

[5]   Tsay, R.S. (1987) Conditional Heteroscedastic Time Series Models. Journal of the American Statistical Association, 82, 590-604.
https://doi.org/10.1080/01621459.1987.10478471

[6]   McAleer, M. (2019) What They Did Not Tell You about Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. Journal of Risk and Financial Management, 12, 61.
https://doi.org/10.3390/jrfm12020061

[7]   Enders, W. (2014) Applied Time Series. John Wiley and Sons, Hoboken.

[8]   French, K.R., Schwert, G.W. and Stambaugh, R.F. (1987) Expected Stock Returns and Volatility. Journal of Financial Economics, 19, 3-29.
https://doi.org/10.1016/0304-405X(87)90026-2

[9]   Nelson, D.B. (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-370.
https://doi.org/10.2307/2938260

[10]   Engle, R.F. and Ng, V.K. (1993) Measuring and Testing the Impact of News on Volatility. The Journal of Finance, 48, 1749-1778.
https://doi.org/10.1111/j.1540-6261.1993.tb05127.x

[11]   Glosten, L.R., Jagannathan, R. and Rukle, D.E. (1993) On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48, 1779-1801.
https://doi.org/10.1111/j.1540-6261.1993.tb05128.x

[12]   McAleer, M. (2014) Asymmetry and Leverage in Conditional Volatility Models. Econometrics, 2, 145-150.
https://doi.org/10.3390/econometrics2030145

[13]   Engle, R.F. and Granger, C.W. (1987) Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55, 251-276.
https://doi.org/10.2307/1913236

[14]   Bollerslev, T. (1990) Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. The Review of Economics and Statistics, 72, 498-505.
https://doi.org/10.2307/2109358

[15]   Bera, A.K. and Jarque, C.M. (1980) Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals. Economics Letters, 6, 255-259.
https://doi.org/10.1016/0165-1765(80)90024-5

[16]   Bollerslev, T., Engle, R.F. and Wooldridge, J.M. (1988) A Capital Asset Pricing Model with Time-Varying Covariances. Journal of Political Economy, 96, 116-131.
https://doi.org/10.1086/261527

[17]   Engle, R.F. and Kroner, K.F. (1995) Multivariate Simultaneous Generalized ARCH. Econometric Theory, 11, 122-150.
https://doi.org/10.1017/S0266466600009063

[18]   Tsuji, C. (2017) How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns. Business and Economic Research, 7, 342-351.
https://doi.org/10.5296/ber.v7i2.12071

[19]   Gounopoulos, D., Molyneux, P., Staikouras, K.S., Wilson, O.S.J. and Zhao, G. (2013) Exchange Rate Risk and the Equity Performance of Financial Intermediaries. International Review of Financial Analysis, 29, 271-282.
https://doi.org/10.1016/j.irfa.2012.04.001

[20]   Long, L., Tsui, A.K. and Zhang, Z. (2014) Estimating Time-Varying Currency Betas with Contagion: New Evidence from Developed and Emerging Financial Markets. Japan and the World Economy, 30, 10-24.
https://doi.org/10.1016/j.japwor.2014.02.001

[21]   Caporale, G.M., Ali, F.M. and Spagnolo, N. (2015) Exchange Rate Uncertainty and International Portfolio Flows: A Multivariate GARCH-in-Mean Approach. Journal of International Money and Finance, 54, 70-92.
https://doi.org/10.1016/j.jimonfin.2015.02.020

[22]   Olson, E., Vivian, A. and Wohar, E.M. (2017) Do Commodities Make Effective Hedges for Equity Investors? Research in International Business and Finance, 42, 1274-1288.
https://doi.org/10.1016/j.ribaf.2017.07.064

[23]   Cardon, L., Gutiérrez, M. and Agudelo, A.D. (2017) Volatility Transmission between US and Latin American Stock Markets: Testing the Decoupling Hypothesis. Research in International Business and Finance, 39, 115-127.
https://doi.org/10.1016/j.ribaf.2016.07.008

[24]   McAleer, M., Chan, F., Hoti, S. and Lieberman, O. (2008) Generalized Autoregressive Conditional Correlation. Econometric Theory, 24, 1554-1583.
https://doi.org/10.1017/S0266466608080614

[25]   Ling, S. and McAleer, M. (2003) On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors. The Annals of Statistics, 31, 642-674.
https://doi.org/10.1214/aos/1051027884

[26]   Chang, C.-L., McAleer, M. and Wang, Y.-A. (2018) Modelling Volatility Spillovers for Bio-Ethanol, Sugarcane and Corn Spot and Futures Prices. Renewable and Sustainable Energy Reviews, 81, 1002-1018.
https://doi.org/10.1016/j.rser.2017.07.024

[27]   Chang, C.-L., McAleer, M. and Zuo, G. (2017) Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. Sustainability, 9, 1789.
https://doi.org/10.3390/su9101789

[28]   Chang, C.-L., Li, Y. and McAleer, M. (2018) Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. Energies, 11, 1595.
https://doi.org/10.3390/en11061595

[29]   Allen, D.E. and McAleer, M. (2018) Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management. Energies, 11, 1627.
https://doi.org/10.3390/en11071627

[30]   McAleer, M. (2019) What They Did Not Tell You about Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model. Journal of Risk and Financial Management, 12, 66.
https://doi.org/10.3390/jrfm12020066

[31]   Engle, R. (2002) Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic statistics, 20, 339-350.
https://doi.org/10.1198/073500102288618487

[32]   Tsui, Y.K. and C.A.K. (2012) A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations. Journal of Business & Economic Statistics, 20, 351-362.
https://doi.org/10.1198/073500102288618496

[33]   Ljung, G.M. and Box, G.E. (1978) On a Measure of Lack of Fit in Time Series Models. Biometrika, 65, 297-303.
https://doi.org/10.1093/biomet/65.2.297

[34]   Tsay, R.S. (1986) Time Series Model Specification in the Presence of Outliers. Journal of the American Statistical Association, 81, 132-141.
https://doi.org/10.1080/01621459.1986.10478250

[35]   Mcleod, I. and Li, W.K. (1983) Diagnostic Checking ARMA Time Series Models Using Squared Residual Autocorrelations. Journal of Time Series Analysis, 4, 269-273.
https://doi.org/10.1111/j.1467-9892.1983.tb00373.x

[36]   Jarque, C.M. and Bera, A.K. (1987) A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55, 163-172.
https://doi.org/10.2307/1403192

[37]   Nyblom, J. (1989) Testing for the Constancy of Parameters over Time. Journal of the American Statistical Association, 84, 223-230.
https://doi.org/10.1080/01621459.1989.10478759

 
 
Top