Efficient factor GARCH models and factor-DCC models
We report that, in the estimation of univariate GARCH or multivariate generalized orthogonal GARCH (GO-GARCH) models, maximizing the likelihood is equivalent to making the standardized residuals as independent as possible. Based on this, we propose three
Kun Zhang, Laiwan Chan
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Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants [PDF]
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance.
Margherita Grasso +3 more
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Nvidia and Bitcoin Linkage Study—Based on DCC-GARCH Model
Financial Engineering and Risk Management, 2023 openaire +1 more source
Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. [PDF]
Empir Econ, 2023 Cheng J.
europepmc +1 more source
LSTM-GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. [PDF]
Comput Econ, 2023 García-Medina A, Aguayo-Moreno E.
europepmc +1 more source
Co-movement between Covid-19 and G20 stock market returns: A time and frequency analysis. [PDF]
Heliyon, 2023 Phiri A, Anyikwa I, Moyo C.
europepmc +1 more source
Evaluate the DCC-GARCH and Realized-GARCH model hedging performance
, 2014 碩士本文以在芝加哥商品交易所交易的S&P 500期貨價格以及現貨價格為主要研究對象，研究期間取自2002年1月1日至2008年12月31日止，其中，樣本內期間設為2002年1月1日至2006年12月31日，樣本外期間設為2007年1月1日至2008年12月31日，使用視窗滾動法來估計。用了不同避險績效的衡量方法，包括變異數(Variance)與半變異數(Semi-variance)、效用函數(Utility function)、風險值(VaR)、條件風險值(CVaR)以及經濟價值(Economic ...
伍智培; Wu, Chih-Pei
core
Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model [PDF]
Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017), 2017 Haixia Wu, Yan Ge
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Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. [PDF]
Comput Econ, 2022 Afuecheta E +3 more
europepmc +1 more source