Results 21 to 30 of about 820,796 (289)

Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach [PDF]

, 2015
This paper examines the impact of exchange rate uncertainty on different components of net portfolio flows, namely net equity and net bond flows, as well as their dynamic linkages. Specifically, a bivariate VAR GARCH-BEKK-in-mean model is estimated using
Bacchetta, Bacchetta, Batten, Bauwens, Bayoumi, Bekaert, Bekaert, Bohn, Bollerslev, Bollerslev, Borensztein, Brennan, Brooks, Caporale, Caporin, Chaban, Cheung, Chinn, Choi, Daly, Duffuor, Edison, Elder, Engle, Engle, Engle, Eun, Eun, Evans, Evans, Evans, Faek Menla Ali, Ferreira Filipe, Fidora, Fratzscher, Gehrig, Glen, Grier, Grier, Guglielmo Maria Caporale, Hafner, Hau, Hosking, Iwamoto, Jorion, Kearney, Kodongo, Kroner, Levich, McKenzie, Mercado, Mishra, Nicola Spagnolo, Payne, Portes, Portes, Rahman, Rime, Ross, Siourounis   +59 more
core   +3 more sources

Marginalization and contemporaneous aggregation in multivariate GARCH processes [PDF]

Journal of Econometrics, 1996
Abstract We first of all show that contemporaneous aggregation of independent univariate GARCH processes yields a weak GARCH process as introduced by Drost and Nijman (1993). Subsequently we analyze the dependence of the parameters in the aggregate on the parameters in the underlying models and show that the variance parameters after aggregation ...
Theo Nijman, Enrique Sentana
openalex   +9 more sources

Modeling and forecasting the volatility of some industry development indicators in Ethiopia using multivariate GARCH models. [PDF]

Sci Rep
Dagnew GA, Alamneh BW, Hailu WG.
europepmc   +3 more sources

Identification of structural multivariate GARCH models

Journal of Econometrics, 2020
Abstract The class of multivariate GARCH models is widely used to quantify and monitor volatility and correlation dynamics of financial time series. While many specifications have been proposed in the literature, these models are typically silent about the system inherent transmission of implied orthogonalized shocks to vector returns. In a framework
C. Hafner, H. Herwartz, Simone Maxand
semanticscholar   +8 more sources

Multivariate Variance Targeting in the BEKK-GARCH Model [PDF]

SSRN Electronic Journal, 2012
This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de finition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi ed likelihood function, or estimating function, corresponding to these two steps.
Rasmus Søndergaard Pedersen, Anders Rahbek   +1 more
openalex   +6 more sources

On asymptotic theory for multivariate GARCH models

Journal of Multivariate Analysis, 2009
AbstractThe paper investigates the asymptotic theory for a multivariate GARCH model in its general vector specification proposed by Bollerslev, Engle and Wooldridge (1988) [4], known as the VEC model. This model includes as important special cases the so-called BEKK model and many versions of factor GARCH models, which are often used in practice.
Christian Hafner, Arie Preminger
openalex   +3 more sources

Spatial Multivariate GARCH Models and Financial Spillovers

Journal of Risk and Financial Management, 2023
We estimate the risk spillover among European banks from equity log-return data via Conditional Value at Risk (CoVaR). The joint dynamic of returns is modeled with a spatial DCC-GARCH which allows the conditional variance of log-returns of each bank to ...
R. Giacometti, G. Torri, Kamonchai Rujirarangsan, M. Cameletti   +3 more
semanticscholar   +1 more source

A multivariate GARCH–jump mixture model

Journal of Forecasting, 2023
This paper proposes a new parsimonious multivariate GARCH–jump (MGARCH–jump) mixture model with multivariate jumps that allows both jump sizes and jump arrivals to be correlated among assets.
Chenxing Li, J. Maheu
semanticscholar   +1 more source

Robust ranking of multivariate GARCH models by problem dimension [PDF]

Computational Statistics & Data Analysis, 2012
During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an empirical comparison of alternative MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC), CCC, OGARCH Exponentially ...
Massimiliano Caporin, Michael McAleer
openalex   +9 more sources

Bayesian inference of multivariate-GARCH-BEKK models

Statistical Papers, 2022
The main aim of this paper is to present a Bayesian analysis of Multivariate GARCH( l ,  m ) (M-GARCH) models including estimation of the coefficient parameters as well as the model order, by combining a set of existing MCMC algorithms in the literature.
G. Livingston, D. Nur, regu-B G. C. Livingston   +2 more
semanticscholar   +1 more source