Results 41 to 50 of about 1,876 (209)
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
openaire +5 more sources
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
openaire +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT Investors have long recognized the importance of firms in promoting sustainability, leading to the rise of socially responsible investment (SRI). Specifically, there is a growing preference for exchange‐traded funds (ETFs) that prioritize environmental, social, and governance (ESG) principles.
Sandra Tenorio‐Salgueiro +3 more
wiley +1 more source
Bayesian clustering of multivariate extremes
Canadian Journal of Statistics, EarlyView.Abstract The asymptotic dependence structure between multivariate extreme values is fully characterized by their projections on the unit simplex. Under mild conditions, the only constraint on the resulting distributions is that their marginal means must be equal, which results in a nonparametric model that can be difficult to use in applications ...
Sonia Alouini, Anthony C. Davison
wiley +1 more source
Waves of Uncertainty: Crude Oil Under Geopolitical, Economic, and ESG Turbulence
Energy Science &Engineering, EarlyView.Dynamic copula and wavelet coherence reveal that geopolitical, economic, and sustainability uncertainties significantly shape crude oil price co‐movements. Long‐term coherence, especially post‐2015, highlights the growing role of ESG risks alongside geopolitical shocks and economic crises in global energy risk transmission.
Sana Braiek +3 more
wiley +1 more source
Optimal Foreign Exchange Portfolio for Iran [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2010 Management of Foreign exchange reserves is important for every country. This matter is also of particular interest for Iran as an Oil exporting developing country. This paper designs an optimal portfolio for that part of foreign exchange incomes which is
Zahra Nasrollahi, Mina Shahviri,
doaj
Currency hedging strategies using dynamic multivariate GARCH [PDF]
Mathematics and Computers in Simulation, 2012 This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts.
Chia-Lin Chang +2 more
openaire +4 more sources
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
From Reactive to Proactive Volatility Modeling With Hemisphere Neural Networks
Journal of Applied Econometrics, EarlyView.ABSTRACT We revisit maximum likelihood estimation (MLE) for macroeconomic density forecasting through a novel neural network architecture with dedicated mean and variance hemispheres. Our architecture features several key ingredients making MLE work in this context.
Philippe Goulet Coulombe +2 more
wiley +1 more source
Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley +1 more source