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Ranking Multivariate GARCH Models by Problem Dimension [PDF]
SSRN Electronic Journal, 2010 In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002).
Massimiliano Caporin, Michael McAleer
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Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets
Journal of Agricultural and Resource Economics, 2012 This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market.
Andres Trujillo-Barrera +2 more
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GO-GJRSK Model with Application to Higher Order Risk-Based Portfolio
Mathematics, 2020 There are three distinguishing features in the financial time series, such as stock prices, are as follows: (1) Non-normality, (2) serial correlation, and (3) leverage effect.
Kei Nakagawa, Yusuke Uchiyama
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Measuring conditional correlation between financial markets' inefficiency
Quantitative Finance and Economics, 2023 Assuming that stock prices follow a multi-fractional Brownian motion, we estimated a time-varying Hurst exponent ($ h_t $). The Hurst value can be considered a relative volatility measure and has been recently used to estimate market inefficiency ...
Fabrizio Di Sciorio +2 more
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L1 Regularization for High-Dimensional Multivariate GARCH Models
RisksThe complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK ...
Sijie Yao, Hui Zou, Haipeng Xing
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Do USDA Announcements Affect Comovements across Commodity Futures Returns?
Journal of Agricultural and Resource Economics, 2012 The value of USDA reports has long been a question of interest for researchers and practitioners. However, the impact of announcements on comovements across related commodity prices has not been explored beyond financial asset markets.
Berna Karali
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Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 Volatility Contagion between Stock Market and Exchange Rate in Mexico and Brazil (2000-2020) This paper analyzes volatility contagion between exchange and stock market in Mexico and Brazil during the period January/2000- November/2020.
Jorge López Villa, Miriam Sosa Castro
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Estimation of Risk Hedge Ratio, Optimal Weight and Volatility Spillover Effects in the Stock Market of Iran, USA, Turkey, and UAE [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2019 Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets ...
Esmaiel Abounoori, Mansour Tour
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Econometrics, 2022 We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as
Jian Kang +4 more
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Ensayos Revista de Economía, 2018 The purpose of this investigation is to propose a multivariate volatility model that takes into consideration time varying volatility and the property of the α-stable sub-Gaussian distribution to model heavy tails.
Ramona Serrano-Bautista +1 more
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