A general multivariate threshold GARCH model with dynamic conditional correlations [PDF]
We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilities and correlations.
Fabio Trojani, Francesco Audrino
core
Practical volatility and correlation modeling for financial market risk management [PDF]
, 2005 What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics.
Andersen, Torben G. +3 more
core +2 more sources
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants [PDF]
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance.
Alessandro Lanza +3 more
core
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
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 +2 more
core
Sensitivity analysis of volatility: a new tool for risk management [PDF]
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models.
Ceci, Vladimiro +2 more
core
International Asset Pricing and World Market Integration : Evidence from a Partially Integrated ICAPM with Asymmetric Effects. [PDF]
This paper tests a partially Segmented ICAPM using an asymmetric multivariate GARCH specification for two developed markets, two emerging markets and World market.
Arouri Mohamed El Hedi
core
Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
doaj +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
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal ...
Chang, C-L. +2 more
core +1 more source