Multivariate GARCH models with spherical parameterizations: an oil price application
Financial InnovationIn popular Baba-Engle-Kraft-Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity models, the large number of parameters and the requirement of positive definiteness of the ...
Luca Vincenzo Ballestra +2 more
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EconometricsWe analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized by variable selection.
O-Chia Chuang +3 more
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On the linkages between stock prices and exchange rates: evidence from the banking crisis of 2007-2010 [PDF]
, 2013 This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010 ...
Caporale, GM, Hunter, J, Menla Ali, F
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Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley +1 more source
Portfolio Optimization Using Multivariate GARCH Models: Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2011 In this paper, In order to optimize the portfolio consisting of selected industrial stocks of Petroleum products, automobiles and parts, electrical industry and extraction of minerals from Tehran Stock Exchange member, First, time – varying conditional ...
Hassan Heidari, Ahmad Molabahrami
doaj
Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
The Scientific World Journal, 2015 This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series.
Jiechen Tang +3 more
doaj +1 more source
Temporal aggregation of multivariate GARCH processes [PDF]
This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector specification. It is shown that the class of weak multivariate GARCH processes is closed under temporal aggregation.
Christian M. Hafner
core
How Regulation and Global Standing Shape Stock Market Co‐Movements: A G20 Panel Study
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT Motivated by post‐2020 fragmentation and underexplored institutional‐geopolitical drivers, we examine how regulatory quality (RQ) and global power (GP) shape stock‐market co‐movements across 17 G20 economies. We estimate time‐varying correlations via ADCC‐GARCH, construct a scaled correlation index, and apply panel ARDL. We find that higher RQ
Sama Haddad +4 more
wiley +1 more source
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
Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data [PDF]
, 2015 Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to ...
Avdulaj, Krenar, Barunik, Jozef
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