Results 71 to 80 of about 312 (108)
Komunikace centrální banky a korelace finančních trhů: Evidence z eurozóny [PDF]
, 2019 Cílem této práce je posoudit dopad komunikace ECB na společné pohyby finančních trhů mezi Itálií, Španělskem, Německem a Francií použitím MGARCH modelů.
Kučera, Milan
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The Correlation Structure in the Multivariate Time Series
, 2014 V této práci jsme si stanovili hypotézy ohledně schopnosti DCC modelů předpovídat kovarianci přesněji než doposud používané modely. Druhá stanovená hypotéza se zabývala myšlenkou zlepšení predikce v případě předpokladu o asymetrickém chování výnosů aktiv.
Frýd, Lukáš
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A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics [PDF]
, 2016 The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory.
McAleer, M.J. (Michael) +3 more
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On the Univariate Representation of BEKK Models with Common Factors
, 2016 ACLNInternational audienceSimple low order multivariate GARCH models imply marginal processes with a lot of persistence in the form of high order lags. This is not what we find in many situations however, where parsimonious univariate GARCH(1,1) models ...
Laurent, Sébastien +2 more
core +1 more source
Central Bank Communication and Correlation between Financial Markets: Evidence from the Euro Area
, 2019 The aim of this thesis is to assess the effect of ECB's communication on financial market co- movements between Italy, Spain, Germany and France using MGARCH family of models.
Kučera, Milan
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On the Parametrization of Multivariate GARCH Models
, 2007 This paper deals with issues of structure and parametrization of VECH and BEKK models. Both general models as well as restricted versions such as the widely used diagonal VECH (DVECH) and factor GARCH (F-GARCH) models are discussed. A simple algorithm is
Ribarits, Eva, Scherrer, Wolfgang
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Volatility Transmission in Oil Futures Markets and Carbon Emissions Futures
, 2015 This paper examined the oil futures and the carbon emissions futures volatility comovements and spillovers for crude oil, gasoline and heat oil as well as carbon emissions. The data used in this study was the daily data from 2009 to 2014.
Tanattrin Bunnag
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Central Bank Communication and Correlation between Financial Markets: Canada and the United States [PDF]
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2009 in the framework of diagonal-BEKK models.
Melanie-Kristin Beck +2 more
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, 2016 This paper examined volatility transmission in the crude oil, gold, S&P 500 and US Dollar Index futures. The data used in this study was the daily data from 2010 to 2015. The four VAR- MGARCH models, namely the VAR (2)-diagonal VECH, the VAR (2)-diagonal
Tanattrin Bunnag
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