Results 141 to 150 of about 1,876 (209)

Likelihood Inference for Factor Copula Models with Asymmetric Tail Dependence. [PDF]

Entropy (Basel)
Joe H, Li X.
europepmc   +1 more source

On spatial contagion and multivariate GARCH models

, 2013
Piotr Jaworski, Marcin Pitera
openalex   +2 more sources

The dependency structure of international commodity and stock markets after the Russia-Ukraine war. [PDF]

PLoS One
Zhang C, Liu S, Qin M, Gao B.
europepmc   +1 more source

Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model

, 2019
Charles O. Manasseh, Ndubuisi Obeka Chukwu, Felicia C. Abada, Jonathan E. Ogbuabor, Adedoyin Isola Lawal, Felix C. Alio   +5 more
openalex   +1 more source

Using smart transportation assets to hedge fossil energy markets: Evidence from quantile-based VAR approach. [PDF]

PLoS One
Hasan MB, Hossain MN, Khatun H, Uddin GS, Bilgin MH, Tian S.   +5 more
europepmc   +1 more source

Incorporating overnight and intraday returns into multivariate GARCH volatility models

, 2019
Geert Dhaene, Jianbin Wu
openalex   +2 more sources

Investigating the dynamics and uncertainties in portfolio optimization using the Fourier-Millen transform. [PDF]

PLoS One
Alkhudaydi MH, Alharthi AM.
europepmc   +1 more source

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

, 2016
Manabu Asai, Michael McAleer
openalex   +1 more source

Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis

, 2005
Andrew C. Worthington, Adam Kay-Spratley, Helen Higgs   +2 more
openalex   +2 more sources

Robust Inference of Dynamic Covariance Using Wishart Processes and Sequential Monte Carlo. [PDF]

Entropy (Basel)
Huijsdens H, Leeftink D, Geerligs L, Hinne M.   +3 more
europepmc   +1 more source