Results 41 to 50 of about 820,796 (289)

Modeling covariance breakdowns in multivariate GARCH [PDF]

Journal of Econometrics, 2016
Abstract This paper proposes a flexible way of modeling dynamic heterogeneous covariance breakdowns in multivariate GARCH models through a stochastic component that allows for changes in the conditional variances, covariances and implied correlation coefficients.
Xin Jin, Xin Jin, John M. Maheu
openaire   +3 more sources

Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015
The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
doaj   +1 more source

Asymptotic theory for multivariate GARCH processes [PDF]

Journal of Multivariate Analysis, 2003
AbstractWe provide in this paper asymptotic theory for the multivariate GARCH(p,q) process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given by Jeantheau (Econometric Theory 14 (1998), 70) in conjunction with a result given by Boussama (Ergodicity, mixing and estimation in GARCH models ...
F. Comte, Offer Lieberman
openaire   +2 more sources

Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation [PDF]

J. Risk Financial Manag. 2022, 15(5), 230, 2020
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility clustering and regime switch.
arxiv   +1 more source

Estimating monthly labour force figures during the COVID‐19 pandemic in the Netherlands

Journal of the Royal Statistical Society: Series A (Statistics in Society), Volume 185, Issue 4, Page 1560-1583, October 2022., 2022
Abstract Official monthly statistics about the Dutch labour force are based on the Dutch Labour Force Survey (LFS). The LFS is a continuously conducted survey that is designed as a rotating panel design. Data collection among selected households is based on a mixed‐mode design that uses web interviewing, telephone interviewing and face‐to‐face ...
Jan van den Brakel, Martijn Souren, Sabine Krieg   +2 more
wiley   +1 more source

Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model [PDF]

تحقیقات مالی, 2018
Objective: The aim of the present study is to analyze and test the power of Conditional Capital Asset Pricing Model (CAPM) with Time Variant Beta against Standard Capital Asset Pricing Model to find the better model to explain expected return of stocks ...
Saeed Fallahpour, Shapour Mohammadi, Mohamad Sabunchi   +2 more
doaj   +1 more source

An application of Regular Vine copula in portfolio risk forecasting: evidence from Istanbul stock exchange

Quantitative Finance and Economics, 2021
In times of financial turbulence, it is a well-documented fact that the co-movement of financial returns tends to increase leading to unexpected portfolio losses.
Cemile Özgür, Vedat Sarıkovanlık
doaj   +1 more source

Dynamic risk-based optimization on cryptocurrencies [PDF]

Journal of Capital Markets Studies, 2021
Purpose – It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and ...
Bayu Adi Nugroho
doaj   +1 more source

A closed-form estimator for the multivariate GARCH(1,1) model [PDF]

J. Multivariate Anal., vol. 120, 2013, pp. 152-162, 2013
We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear algebra tools. We show that the estimator is consistent and asymptotically normal distributed.
arxiv   +1 more source

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
doaj   +1 more source