Results 11 to 20 of about 820,796 (289)
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
core +7 more sources
Multivariate Garch with dynamic beta [PDF]
The European Journal of Finance (2021), 2016 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.
Friedrich Wagner, Matthias Raddant
arxiv +6 more sources
The Application of the Multivariate GARCH Models on the BRICS Exchange Rates
, 2020 The study investigated the BRICS exchange rate volatility using the Multivariate GARCH models. The study used the monthly time series data for the period January 2008 to January 2018.
Lebotsa Daniel Metsileng +2 more
semanticscholar +3 more sources
Fourth Moment Structure of Markov Switching Multivariate GARCH Models [PDF]
Journal of Financial Econometrics, 2019 We derive sufficient conditions for the existence of second and fourth moments of Markov switching multivariate generalized autoregressive conditional heteroscedastic processes in the general vector specification.
Maddalena Cavicchioli
semanticscholar +2 more sources
A Multivariate Realized GARCH Model [PDF]
arXiv, 2020 We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the use of factor models for correlations.
Archakov, Ilya +2 more
arxiv +3 more sources
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.
Annastiina Silvennoinen +1 more
openalex +8 more sources
Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models [PDF]
Energy Economics, 2020 M. Marchese +3 more
semanticscholar +2 more sources
Temporal aggregation of multivariate GARCH processes [PDF]
Journal of Econometrics, 2008 This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector specification. It is shown that the class of weak multivariate GARCH processes is closed under temporal aggregation.
Christian M. Hafner
core +4 more sources
DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations
International Journal of Forecasting, 2022 L. Bauwens, Yongdeng Xu
semanticscholar +2 more sources
Multivariate GARCH models with spherical parameterizations: an oil price application
Financial InnovationIn popular Baba-Engle-Kraft-Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity models, the large number of parameters and the requirement of positive definiteness of the ...
Luca Vincenzo Ballestra +2 more
doaj +2 more sources