Results 1 to 10 of about 820,796 (289)
International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
doaj +2 more sources
Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model [PDF]
Energies, 2022 Many macro-level variables have been used in forecasting crude oil price volatility. This article aims to identify which variables have the greatest impact and give more accurate predictions.
O-Chia Chuang, Chen Yang
semanticscholar +2 more sources
Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing [PDF]
Journal of Risk and Financial Management, 2021 In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance.
Pierre J. Venter, E. Maré
semanticscholar +2 more sources
Static and Dynamic Models for Multivariate Distribution Forecasts: Proper Scoring Rule Tests of Factor-Quantile vs. Multivariate GARCH Models [PDF]
arXiv, 2020 A plethora of static and dynamic models exist to forecast Value-at-Risk and other quantile-related metrics used in financial risk management. Industry practice tends to favour simpler, static models such as historical simulation or its variants whereas most academic research centres on dynamic models in the GARCH family.
Carol Alexander, Han Yang
arxiv +3 more sources
Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models. [PDF]
Springerplus, 2015 This paper was aimed at investigating the volatility and conditional relationship among inflation rates, exchange rates and interest rates as well as to construct a model using multivariate GARCH DCC and BEKK models using Ghana data from January 1990 to ...
Nortey EN +3 more
europepmc +2 more sources
Stationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models [PDF]
Stochastic Processes and their Applications 2011, Vol. 121, No.
10, 2331-2360, 2011 Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are ...
Andrews +32 more
core +2 more sources
Dynamic Conditional Correlation : A Simple Class of Multivariate GARCH Models [PDF]
, 2000 Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of returns. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed.
R. Engle
semanticscholar +2 more sources
, 2020 In this paper, we employ asymmetric multivariate GARCH approaches to examine their performance on the volatility interactions between global crude oil prices and seven major stock market indices.
Dimitrios Kartsonakis-Mademlis +1 more
semanticscholar +3 more sources
Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
Dependence Modeling, 2019 The Copula Multivariate GARCH (CMGARCH) model is based on a dynamic copula function with time-varying parameters. It is particularly suited for modelling dynamic dependence of non-elliptically distributed financial returns series.
Burda Martin, Bélisle Louis
doaj +2 more sources
Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
PLoS ONEThe COVID-19 pandemic and its impact on crude oil prices created additional risks throughout the financial industry. To contribute to the ongoing debates, this paper empirically examined the risk contagion of COVID-19 to oil prices by incorporating a ...
Nida Siddiqui, Haslifah Mohamad Hasim
doaj +2 more sources