Results 61 to 70 of about 21,854 (165)

Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction [PDF]

open access: yes
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  

Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets

open access: yesJournal of Futures Markets, Volume 45, Issue 6, Page 659-682, June 2025.
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]

open access: yes
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]

open access: yes, 2017
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
core  

Exchange rate uncertainty and international portfolio flows [PDF]

open access: yes, 2013
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

open access: yesJournal of Futures Markets, Volume 45, Issue 5, Page 455-472, May 2025.
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]

open access: yes
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]

open access: yes
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]

open access: yes
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]

open access: yes
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  

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