Results 91 to 100 of about 41,309 (265)
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets [PDF]
, 2002 Olivier Ledoit +2 more
openalex +2 more sources
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients
Journal of Time Series Analysis, EarlyView.ABSTRACT The problem of selecting the smoothing parameter, or bandwidth, for kernel‐based estimators of time‐varying coefficients in linear models with possibly endogenous explanatory variables is considered. We examine automated bandwidth selection by means of cross‐validation, a nonparametric variant of Akaike's information criterion, and bootstrap ...
Charisios Grivas, Zacharias Psaradakis
wiley +1 more source
Outliers in multivariate Garch models [PDF]
, 2014 Outliers of moderate magnitude cause large changes in financial time series of prices and returns and affect both the estimation of parameters and volatilities when fitting a GARCH-type model. The multivariate setting is still to be studied, but similar biases and impacts on correlation dynamics are believed to exist.
Veiga, Helena +2 more
openaire +1 more source
Further evidence on the determinants of regional stock market integration in Latin America [PDF]
The European Journal of Comparative Economics, 2013 This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources
Khaled Guesmi +2 more
doaj
Comparison results for Garch processes [PDF]
arXiv, 2012 We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the Garch process itself, and discuss their interpretations.
arxiv
Tensor Changepoint Detection and Eigenbootstrap
Journal of Time Series Analysis, EarlyView.ABSTRACT Tensor data consisting of multivariate outcomes over the items and across the subjects with longitudinal and cross‐sectional dependence are considered. A completely distribution‐free and tweaking‐parameter‐free detection procedure for changepoints at different locations is designed, which does not require training data.
Michal Pešta +2 more
wiley +1 more source
Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models [PDF]
In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S ...
Jeroen VK Rombouts, Marno Verbeek
core +3 more sources
Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models [PDF]
The purpose of this paper is to examine the covariance structure of multivariate GARCH (M-GARCH) models that have been introduced in the literature the last fifteen years, and have been greatly favoured by time series analysts and econometricians.
Menelaos Karanasos
core
A unifying class of compound Poisson integer‐valued ARMA and GARCH models
Scandinavian Journal of Statistics, EarlyView.Abstract INAR (integer‐valued autoregressive) and INGARCH (integer‐valued GARCH) models are among the most commonly employed approaches for count time series modeling, but have been studied in largely distinct strands of literature. In this paper, a new class of generalized integer‐valued ARMA (GINARMA) models is introduced which unifies a large number
Johannes Bracher, Barbora Němcová
wiley +1 more source
GO-GJRSK Model with Application to Higher Order Risk-Based Portfolio
Mathematics, 2020 There are three distinguishing features in the financial time series, such as stock prices, are as follows: (1) Non-normality, (2) serial correlation, and (3) leverage effect.
Kei Nakagawa, Yusuke Uchiyama
doaj +1 more source