Results 41 to 50 of about 23,897 (230)
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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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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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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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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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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Asymmetric multivariate normal mixture GARCH [PDF]
Computational Statistics & Data Analysis, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Haas, Markus +2 more
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Variance Targeting Estimation of Multivariate GARCH Models [PDF]
Journal of Financial Econometrics, 2014 We establish the strong consistency and the asymptotic normality of the variance-targeting estimator (VTE) of the parameters of the multivariate CCC-GARCH($p,q$) processes. This method alleviates the numerical difficulties encountered in the maximization of the quasi likelihood by using an estimator of the unconditional variance. It is shown that
Francq, Christian +2 more
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Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
, 2008 We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
García-Ferrer, Antonio +2 more
core +1 more source
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source