Results 31 to 40 of about 1,114 (191)
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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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.
Laurent, Sébastien +2 more
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Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
Dependence Modeling, 2019 The Copula Multivariate GARCH (CMGARCH) model is based on a dynamic copula function with time-varying parameters. It is particularly suited for modelling dynamic dependence of non-elliptically distributed financial returns series.
Burda Martin, Bélisle Louis
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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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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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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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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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A multivariate realized GARCH model
Journal of EconometricsWe propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the use of factor models for correlations.
Archakov, Ilya +2 more
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Digital Currencies: A Multivariate GARCH Approach
, 2020 In this paper we will present quantifiable linkages between five different cryptocurrencies, those being Bitcoin, Ethereum, Ripple, Dash and Monero. Initially, we conduct a review of the existing related work. As the concept of cryptocurrencies is fairly new, the relevant literature is very restricted.
Stamatis Papangelou, Sofia Papadaki
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