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
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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
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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
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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
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Modeling and forecasting the volatility of some industry development indicators in Ethiopia using multivariate GARCH models [PDF]
Scientific ReportsIndustry development indicators refer to a set of measures used to assess the performance and growth of industries. The main aim of this study was to assess the relationship between industry development indicators in Ethiopia using a multivariate GARCH ...
Getachew Abate Dagnew +2 more
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Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index [PDF]
, 2018 The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis have put at serious risk the outcome of the euro project, exposing the inherent weaknesses and vulnerabilities of the monetary union.
MacDonald, Ronald +2 more
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DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations
International Journal of Forecasting, 2022 This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances and correlations of daily returns based on measures of realized variances and correlations built from intraday data.
L. Bauwens, Yongdeng Xu
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A multivariate GARCH–jump mixture model
Journal of Forecasting, 2023 This paper proposes a new parsimonious multivariate GARCH–jump (MGARCH–jump) mixture model with multivariate jumps that allows both jump sizes and jump arrivals to be correlated among assets.
Chenxing Li, J. Maheu
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Bayesian inference of multivariate-GARCH-BEKK models
Statistical Papers, 2022 The main aim of this paper is to present a Bayesian analysis of Multivariate GARCH( l , m ) (M-GARCH) models including estimation of the coefficient parameters as well as the model order, by combining a set of existing MCMC algorithms in the literature.
G. Livingston +2 more
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Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
Финансы: теория и практика, 2022 This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
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