Results 21 to 30 of about 984,341 (254)
Energy Economics, 2020 The relationship between the prices of crude oil and its refined products is at the heart of the oil industry. Crude oil and refined products volatilities and correlations have been modelled extensively using short-memory multivariate GARCH models.
M. Marchese +3 more
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Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model [PDF]
تحقیقات مالی, 2018 Objective: The aim of the present study is to analyze and test the power of Conditional Capital Asset Pricing Model (CAPM) with Time Variant Beta against Standard Capital Asset Pricing Model to find the better model to explain expected return of stocks ...
Saeed Fallahpour +2 more
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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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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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Bayesian semiparametric multivariate GARCH modeling [PDF]
Journal of Econometrics, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mark J. Jensen, John M. Maheu
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, 2020 The goal of this paper is to address the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018.
F. Abdulkarim +3 more
semanticscholar +1 more source
Modeling covariance breakdowns in multivariate GARCH [PDF]
Journal of Econometrics, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xin Jin, J. Maheu
semanticscholar +4 more sources
Asymptotic theory for multivariate GARCH processes [PDF]
Journal of Multivariate Analysis, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Comte, Fabienne, Lieberman, O.
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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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Identification of structural multivariate GARCH models
, 2020 Multivariate GARCH models are widely used to model volatility and correlation dynamics of nancial time series. These models are typically silent about the transmission of implied orthogonalized shocks to vector returns.
C. Hafner, H. Herwartz, Simone Maxand
semanticscholar +1 more source