Results 41 to 50 of about 18,925 (204)
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
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Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
MIDAS models in banking sector – systemic risk comparison
Managerial Economics, 2018 This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in
Henryk Gurgul +2 more
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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
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
Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies [PDF]
This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models.
Hammoudeh, S.M., Yuan, Y., McAleer, M.J.
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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
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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
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Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
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Axioms, 2022 Unlike most previous studies examining the causal relationship and dependence between exchange rates and real estate prices, this study aims to investigate the causal relationship and dependence between these two variables in a boom-and-bust market ...
Woraphon Yamaka +4 more
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