High-dimensional GARCH process segmentation with an application to Value-at-Risk [PDF]
, 2020 Models for financial risk often assume that underlying asset returns are stationary. However, there is strong evidence that multivariate financial time series entail changes not only in their within-series dependence structure, but also in the cross ...
Cho, Haeran, Korkas, Karolos
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Sensitivity analysis of volatility: a new tool for risk management [PDF]
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models.
Ceci, Vladimiro +2 more
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International Asset Pricing and World Market Integration : Evidence from a Partially Integrated ICAPM with Asymmetric Effects. [PDF]
This paper tests a partially Segmented ICAPM using an asymmetric multivariate GARCH specification for two developed markets, two emerging markets and World market.
Arouri Mohamed El Hedi
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Multivariate regime–switching GARCH with an application to international stock markets [PDF]
, 2008 We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure.
Haas, Markus, Mittnik, Stefan
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Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors [PDF]
We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The information contained in large datasets is captured by few dynamic common factors, which we assume being conditionally heteroskedastic ...
Alessi, Lucia +2 more
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The Dynamic International Optimal Hedge Ratio [PDF]
Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio.
Jacobsen, Brian, Liu, Xiaochun
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Long Memory Process in Asset Returns with Multivariate GARCH innovations [PDF]
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a multivariate process exhibiting long term dependence in stock returns. More precisely, the long term dependence is examined in the first
Imene Mootamri
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Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009 [PDF]
We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rates.
Jan Antell, Mika Vaihekoski
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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants [PDF]
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance.
Alessandro Lanza +3 more
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal ...
Chang, C-L. +2 more
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