Results 41 to 50 of about 41,461 (206)
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation [PDF]
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance.
Michael McAleer, Massimiliano Caporin
core +4 more sources
Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
doaj +1 more source
Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH [PDF]
SSRN Electronic Journal, 2015 The global economy is highly dependent on commodity prices, which are, by and large, the outcome of market-specific supply and demand fundamentals. As a result, driven by different determinants, financial assets and commodity prices should be negligibly correlated.
openaire +1 more source
Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
A wavelet approach towards examining dynamic association, causality and spillovers [PDF]
International Journal of Data and Network Science, 2019 This paper presents an integrated granular framework of wavelet decomposition, DCC-GARCH, ADCC-GARCH, Diks-Panchenko nonlinear Granger’s causality and Diebold-Yilmaz spillover assessment techniques to understand temporal correlation, causal interplay and
Indranil Ghosh, Tamal Datta Chaudhuri
doaj +1 more source
Journal of Forecasting, EarlyView.ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu +3 more
wiley +1 more source
Przegląd Statystyczny, 2015 The article seeks to investigate the issue of interdependence that during crisis periods in the capital markets is of particular importance due to the likelihood of causing a crisis in the real economy. The research objective of the article is to identify this interdependence in volatility.
Faldzinski, Marcin +1 more
openaire +2 more sources
Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
wiley +1 more source
Algorithm of Assessing Dynamic Correlation between Time Series Connected by TVP-Regression Model
Вестник Российского экономического университета имени Г. В. ПлехановаThe present research proposes algorithm of assessing dynamic correlation of time series connected by TVP-regression model. Topicality of this task is stipulated by the fact that this model often describes asset behavior on finance markets, while modeling
N. A. Moiseev, G. V. Aivazian
doaj +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho +3 more
wiley +1 more source