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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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Multivariate GARCH with dynamic beta [PDF]
The European Journal of Finance, 2021 We investigate a solution for the problems related to the application of multivariate GARCH models to markets with a large number of stocks by restricting the form of the conditional covariance matrix. The model is a factor model and uses only six free GARCH parameters.
Raddant, Matthias, Wagner, Friedrich
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Using Multivariate Dynamic Conditional Correlation GARCH model to analysis financial market data [PDF]
Maǧallaẗ Al-Buḥūṯ Al-Tiǧāriyyaẗ, 2023 In financial markets, understanding the dynamic relationships between assets is crucial for effective portfolio management. This study highlights the importance of using the DCC-GARCH (Dynamic Conditional Correlation - Generalized Autoregressive ...
Fatma Alshenawy, Doaa A. Abdo
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Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Silvennoinen, Annastiina +1 more
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Multivariate GARCH Models: A Survey [PDF]
SSRN Electronic Journal, 2003 AbstractThis paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.
BAUWENS, Luc +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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Multivariate Normal Mixture GARCH [PDF]
SSRN Electronic Journal, 2006 We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a). Issues of parametrization and estimation are discussed. We derive conditions for covariance stationarity and the existence of the fourth moment, and provide expressions for the dynamic correlation structure of the process.
Haas, Markus +2 more
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Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
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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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