Results 61 to 70 of about 23,897 (230)
Economia Aplicada, 2002 This article summarizes the huge literature on GARCH Models. It is a survey on this subject to spread those models throughout the Portuguese readers.
Rodrigo De Losso da Silveira Bueno
doaj
Asymmetric multivariate normal mixture GARCH [PDF]
, 2008 An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed.
Haas, Markus +2 more
core
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 ...
Billio M. +3 more
openaire +4 more sources
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
Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model [PDF]
تحقیقات مالی, 2012 This paper uses a multivariate GARCH model to simultaneously estimate the mean and conditional variance using daily returns among different Tehran sector indexes from Tir 1386 to Tir 1391. Since different financial assets are traded based on these sector
Esmaiel Abounoori +1 more
doaj +1 more source
Mathematics, 2021 Since the launch of Bitcoin, there has been a lot of controversy surrounding what asset class it is. Several authors recognize the potential of cryptocurrencies but also certain deviations with respect to the functions of a conventional currency. Instead,
Ángeles Cebrián-Hernández +1 more
doaj +1 more source
Negative volatility spillovers in the unrestricted ECCC-GARCH model [PDF]
, 2009 Copyright @ 2010 Cambridge University Press.This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model that allows for volatility feedback of either the positive or negative sign.
Conrad, C, Karanasos, M
core +1 more source
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
SSRN Electronic Journal, 2010 The paper examines the performance of several multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and diagonal BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and to suggest a crude oil hedge strategy ...
Chang, Chia-Lin +2 more
openaire +5 more sources
Forecasting Related Time Series
Journal of Applied Econometrics, EarlyView.ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
wiley +1 more source
Functional generalized autoregressive conditional heteroskedasticity [PDF]
, 2015 Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of ARCH and GARCH processes. More recently multivariate variants of these processes have been in the focus of research
Aue, Alexander +2 more
core +2 more sources