Results 111 to 120 of about 41,309 (265)

Multivariate Modeling of Daily REIT Volatility [PDF]

arXiv, 2011
This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate time-varyng volatility and correlations in their portfolio ...
arxiv  

Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction [PDF]

We propose a new model for multivariate forecasting which combines the Generalized Dynamic Factor Model (GDFM)and the GARCH model. The GDFM, applied to a huge number of series, captures the multivariate information and disentangles the common and the ...
Lucia Alessi, Marco Capasso, Matteo Barigozzi   +2 more
core  

Spatial and spatiotemporal volatility models: A review

Journal of Economic Surveys, Volume 39, Issue 3, Page 1037-1091, July 2025.
Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity ...
Philipp Otto, Osman Doğan, Süleyman Taşpınar, Wolfgang Schmid, Anil K. Bera   +4 more
wiley   +1 more source

QML estimation of a class of multivariate GARCH models without moment conditions on the observed process [PDF]

We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case.
Francq, Christian, Zakoian, Jean-Michel
core   +1 more source

Training‐induced change of diastolic function in heart failure with preserved ejection fraction

ESC Heart Failure, Volume 12, Issue 3, Page 1652-1662, June 2025.
Training‐induced change of diastolic function in HFpEF. HIIT, high‐intensity interval training; HFpEF, heart failure with preserved ejection fraction; LVEF, left ventricular ejection fraction; MCT, moderate continuous training; TAPSE, tricuspid annular plane systolic excursion; V̇O2peak, peak oxygen uptake.
Andreas B. Gevaert, Ephraim B. Winzer, Stephan Mueller, Stephanie De Schutter, Paul J. Beckers, Jennifer Hommel, Axel Linke, Ulrik Wisløff, Volker Adams, Burkert Pieske, Martin Halle, Emeline M. Van Craenenbroeck, Caroline M. Van De Heyning   +12 more
wiley   +1 more source

Modeling Nonstationary Financial Volatility with the R Package tvgarch

Journal of Statistical Software
Certain events can make the structure of volatility of financial returns to change, making it nonstationary. Models of time-varying conditional variance such as generalized autoregressive conditional heteroscedasticity (GARCH) models usually assume ...
Susana Campos-Martins, Genaro Sucarrat
doaj   +1 more source

Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model [PDF]

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all
Klaassen, F.J.G.M.
core   +1 more source

Volatility forecasting [PDF]

, 2005
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical ...
Andersen, Torben G., Bollerslev, Tim, Christoffersen, Peter F., Diebold, Francis X.   +3 more
core   +6 more sources

Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets

Journal of Futures Markets, Volume 45, Issue 6, Page 659-682, June 2025.
ABSTRACT This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions.
Hongjun Zeng, Mohammad Zoynul Abedin, Abdullahi D. Ahmed, Brian Lucey   +3 more
wiley   +1 more source

Synthetic Ensemble Forecasts: Operations‐Based Evaluation and Inter‐Model Comparison for Reservoir Systems Across California

Water Resources Research, Volume 61, Issue 6, June 2025.
Abstract Synthetic ensemble forecasts are an important tool for testing the robustness of forecast‐informed reservoir operations (FIRO). These forecasts are statistically generated to mimic the skill of hindcasts derived from operational ensemble forecasting systems, but they can be created for time periods when hindcast data are unavailable, allowing ...
Zachary P. Brodeur, William Taylor, Jonathan D. Herman, Scott Steinschneider   +3 more
wiley   +1 more source