Results 11 to 20 of about 984,341 (254)
Multivariate normal mixture GARCH [PDF]
SSRN Electronic Journal, 2006 We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a). Issues of parametrization and estimation are discussed.
Haas, Markus +2 more
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Multivariate GARCH Models: A Survey [PDF]
SSRN Electronic Journal, 2003 AbstractThis paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.
L. Bauwens, S. Laurent, J. Rombouts
semanticscholar +4 more sources
Multivariate GARCH with dynamic beta [PDF]
The European Journal of Finance, 2021 We investigate a solution for the problems related to the application of multivariate GARCH models to markets with a large number of stocks by restricting the form of the conditional covariance matrix. The model is a factor model and uses only six free GARCH parameters.
Raddant, Matthias, Wagner, Friedrich
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Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Silvennoinen, Annastiina +1 more
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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
doaj +1 more source
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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Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing
Journal of Risk and Financial Management, 2021 In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance.
Pierre J. Venter, E. Maré
semanticscholar +1 more source
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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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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