Results 31 to 40 of about 820,796 (289)
Sparse Multivariate GARCH [PDF]
SSRN Electronic Journal, 2016 We propose sparse versions of multivariate GARCH models that allow for volatility and correlation spillover effects across assets. The proposed models are generalizations of existing diagonal DCC and BEKK models, yet they remain estimable for high-dimensional systems of asset returns.
Wu, Jianbin, Dhaene, Geert
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Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
Финансы: теория и практика, 2022 This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
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Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
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Mixed-Frequency Multivariate GARCH [PDF]
SSRN Electronic Journal, 2016 We introduce and evaluate mixed-frequency multivariate GARCH models for forecasting low-frequency (weekly or monthly) multivariate volatility based on high-frequency intra-day returns (at five-minute intervals) and on the overnight returns. The low-frequency conditional volatility matrix is modelled as a weighted sum of an intra-day and an overnight ...
Dhaene, Geert, Wu, Jianbin
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Bayesian semiparametric multivariate GARCH modeling [PDF]
Journal of Econometrics, 2012 Abstract This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given a flexible Dirichlet process prior.
Mark J. Jensen, John M. Maheu
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International Journal of Economics and Financial Issues, 2017 Volatility and correlation are important metrics of risk evaluation for financial markets worldwide. The latter have shown that these tools are varying over time, thus, they require an appropriate estimation models to adequately capture their dynamics ...
Yassine Belasri, Rachid Ellaia
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Portfolio Selection under Systemic Risk
Journal of Money, Credit and Banking, EarlyView., 2023 Abstract This paper proposes a modified Sharpe ratio to construct optimal portfolios under systemic events. The portfolio allocation problem is solved analytically under the absence of short‐selling restrictions and numerically when short‐selling restrictions are imposed.
WEIDONG LIN +2 more
wiley +1 more source
On the forecasting accuracy of multivariate GARCH models [PDF]
Journal of Applied Econometrics, 2011 SUMMARYThis paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance matrix forecasting accuracy, with a particular focus on relatively large‐scale problems.
Sébastien Laurent +5 more
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Asymmetric multivariate normal mixture GARCH [PDF]
Computational Statistics & Data Analysis, 2009 An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided.
Haas, Markus +2 more
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A Multivariate GARCH Model with Time-Varying Correlations [PDF]
SSRN Electronic Journal, 2000 In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an ...
Yiu Kuen Tse, Albert K. Tsui
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