Results 31 to 40 of about 984,341 (254)
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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Incorporating overnight and intraday returns into multivariate GARCH volatility models
, 2020 We propose and evaluate mixed-frequency multivariate GARCH models for forecasting low-frequency (weekly) volatility based on high-frequency intraday returns (at 5-minute intervals) and on the overnight returns.
G. Dhaene, Jianbin Wu
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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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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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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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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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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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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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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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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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