Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction [PDF]
We propose a new model for multivariate forecasting which combines the Generalized Dynamic Factor Model (GDFM)and the GARCH model. The GDFM, applied to a huge number of series, captures the multivariate information and disentangles the common and the ...
Lucia Alessi+2 more
core
ABSTRACT This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions.
Hongjun Zeng+3 more
wiley +1 more source
Do Macroeconomic Announcements Cause Asymmetric Volatility [PDF]
multivariate GARCH;volatility;macroeconomics;garch models;stock markets;bond ...
Goeij, P. C. de, Marquering, W.
core +1 more source
DYNAMIC RELATIONS AND SHARIA STOCK MARKET INTEGRATION WITH OIL PRICES (Studies: Indonesia, Malaysia, USA, UK, Japan 2012-2016) [PDF]
The purpose of this research is to analyze the relationship of dynamic and integration between world sharia stock market with world crude oil price. This research can find out the integration relationship between world sharia stock market with world ...
KARATRI, Rhealin Hening+2 more
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Exchange rate uncertainty and international portfolio flows [PDF]
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows ...
Caporale, GM, Menla Ali, F, Spagnolo, N
core +4 more sources
Appraising Model Complexity in Option Pricing
ABSTRACT The research question we consider is whether incremental complexity in option pricing models is justified by incremental model performance. We apply the model confidence set as a formal model comparison approach in appraising stochastic volatility jump‐diffusion option pricing models, spanning affine and nonaffine specifications.
Mark Cummins, Francesco Esposito
wiley +1 more source
QML estimation of a class of multivariate GARCH models without moment conditions on the observed process [PDF]
We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case.
Francq, Christian, Zakoian, Jean-Michel
core +1 more source
A general multivariate threshold GARCH model with dynamic conditional correlations [PDF]
We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilities and correlations.
Fabio Trojani, Francesco Audrino
core
Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model [PDF]
We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all
Klaassen, F.J.G.M.
core +1 more source
Temporal aggregation of univariate and multivariate time series models: A survey [PDF]
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed.
Andrea Silvestrini, David Veredas
core