Results 21 to 30 of about 1,876 (209)
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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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 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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Price volatility transmission among cereal markets. The evidences for Turkey
New Medit, 2018 The purpose of this study is to examine the price volatilities in corn, wheat and barley markets in Turkey, and to analyze the volatility transmission across the prices of these commodities.
Gokhan Cinar
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Detecting Shocks in The Economic Development Dynamics of Selected Countries
Folia Oeconomica Stetinensia, 2014 The paper examines the development of the Polish economy as well as the economies of selected countries in the period from 2001 to 2012. For that purpose, models based on the GDP growth in particular countries were built.
Janiga-Ćmiel Anna
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Semi- and Nonparametric ARCH Processes
Journal of Probability and Statistics, 2011 ARCH/GARCH modelling has been successfully applied in empirical finance for many years. This paper surveys the semiparametric and nonparametric methods in univariate and multivariate ARCH/GARCH models.
Oliver B. Linton, Yang Yan
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Bahar-Azadi Gold Coin Hedging Strategies: A Comparison of ADCC, GO-GARCH and Copula-GARCH Approaches [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2018 In this paper, we employ a new generation of multivariate volatility models, i.e. ADCC, GO-GARCH and Copula-GARCH to estimate and investigate the hedging performance for Bahar-Azadi Gold Coins spot markets (GC) and Futures market (GCF), during 27/10/2010
Elham Farzanegan
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Closed-form portfolio optimization under GARCH models
Operations Research Perspectives, 2022 This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the ...
Marcos Escobar-Anel +2 more
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Modeling covariance breakdowns in multivariate GARCH [PDF]
Journal of Econometrics, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jin, Xin, Maheu, John M
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ARMA–GARCH model with fractional generalized hyperbolic innovations
Financial Innovation, 2022 In this study, a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail, volatility clustering, and long-range dependence properties is introduced. To define the fractional generalized hyperbolic process, the
Sung Ik Kim
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