Results 51 to 60 of about 820,796 (289)
Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
doaj +1 more source
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
doaj +1 more source
fourth moments of multivariate garch processes [PDF]
Research Papers in Economics, 2000 This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis between components.
openaire +6 more sources
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
Econometrics, 2021 This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed ...
Manabu Asai +3 more
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Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk [PDF]
, 2020 We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate normal tempered stable (MNTS) distributed residuals used to capture the non-Gaussian cryptocurrency return dynamics.
arxiv +1 more source
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
doaj +1 more source
Matrix GARCH Model: Inference and Application [PDF]
arXiv, 2023 Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in economic and financial data. To address this gap, we propose a novel matrix generalized autoregressive conditional heteroskedasticity (GARCH) model to capture the dynamics of ...
arxiv
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).
Michael McAleer +3 more
openaire +7 more sources
Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia
International Journal of Economics and Financial Issues, 2016 The price movements in gold market are considered to detect non-linear dependencies with stock market in the Saudi Arabian context. Both the univariate and multivariate models of GARCH class are employed in this study.
E.M. Afsal, Mohammad Imdadul Haque
doaj +4 more sources
Networks in Risk Spillovers: A Multivariate GARCH Perspective [PDF]
SSRN Electronic Journal, 2016 Abstract A spatiotemporal approach is proposed for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and a new bilateral Multivariate GARCH specification is introduced. The covariance stationarity and identification of the model is studied, developing the quasi-maximum-likelihood estimator and ...
Monica Billio +5 more
openaire +6 more sources