Results 11 to 20 of about 1,876 (209)
International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
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Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
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Quantitative Finance and Economics, 2021 In times of financial turbulence, it is a well-documented fact that the co-movement of financial returns tends to increase leading to unexpected portfolio losses.
Cemile Özgür, Vedat Sarıkovanlık
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Multivariate Hyper-Rotated GARCH-BEKK
Journal of Time Series Econometrics, 2022 Abstract For large multivariate models of generalized autoregressive conditional heteroskedasticity (GARCH), it is important to reduce the number of parameters to cope with the ‘curse of dimensionality’. Recently, Laurent, Rombouts and Violante (2014 “Multivariate Rotated ARCH Models” Journal of Econometrics 179: 16–30)
Manabu Asai, Michael McAleer
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Mixed-Frequency Multivariate GARCH [PDF]
SSRN Electronic Journal, 2016 We introduce and evaluate mixed-frequency multivariate GARCH models for forecasting low-frequency (weekly or monthly) multivariate volatility based on high-frequency intra-day returns (at five-minute intervals) and on the overnight returns. The low-frequency conditional volatility matrix is modelled as a weighted sum of an intra-day and an overnight ...
Geert Dhaene, Wu Jianbin
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SSRN Electronic Journal, 2016 We propose sparse versions of multivariate GARCH models that allow for volatility and correlation spillover effects across assets. The proposed models are generalizations of existing diagonal DCC and BEKK models, yet they remain estimable for high-dimensional systems of asset returns.
Wu Jianbin, Geert Dhaene
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Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
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Dynamic risk-based optimization on cryptocurrencies [PDF]
Journal of Capital Markets Studies, 2021 Purpose – It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and ...
Bayu Adi Nugroho
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Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
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Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
Econometrics, 2021 This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed ...
Manabu Asai +3 more
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