Results 101 to 110 of about 1,876 (209)

Multivariate GARCH Analysis of Fannie Mae, Freddie Mac, and American International Group: Did the Short-Selling Ban Reduce Their Systemic Risk?

, 2011
Carlos A. Ulibarrí
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BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY [PDF]

, 2013
Audrone Virbickaite, M. Concepción Ausín, Pedro Galeano   +2 more
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Volatility Spillovers and Conditional Correlations between Oil, Renewables and Stock Markets: A Multivariate Garch-in-Mean Analysis

, 2022
Peter G. Moffatt, Wenxue Wang, Zheng Zhang   +2 more
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Variance Persistence in the Greater China Region: A Multivariate GARCH Approach

Lahore Journal of Economics
This paper utilizes three Multivariate General Autoregressive Conditional Heteroscedasticity (MGARCH) models to determine variance persistence in the Greater China region from 2009 to 2014.
John Francis Diaz, Peh Ying Qian, Genevieve Liao Tan   +2 more
doaj  

Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach

, 2012
Matteo Manera, Marcella Nicolini, Ilaria Vignati   +2 more
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Using Multivariate Dynamic Conditional Correlation GARCH model to analysis financial market data

, 2023
Fatma Alshenawy, دعاء عاشور
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QML estimation of a class of multivariate GARCH models without moment conditions on the observed process [PDF]

, 2010
Christian Francq, Jean‐Michel Zakoïan
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Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation [PDF]

, 2022
Cheng Peng, Young Shin Kim, Stefan Mittnik   +2 more
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Determination of the optimal investment portfolio using CAPM in Tehran Stock Exchange industries: A VAR-Multivariate GARCH approach

, 2012
Seyed Ahmad Hosseini, Ahmad Moradifard, Kobra Sabzzadeh   +2 more
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Markov-Switching Multivariate GARCH Model with Copula-Distributed Innovations

Markus J. Fülle, Helmut Herwartz, Shu Wang   +2 more
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