Results 81 to 90 of about 1,876 (209)
Spatial Multivariate GARCH Models and Financial Spillovers [PDF]
, 2023 Rosella Giacometti +3 more
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Fractal and FractionalThis study investigates cross-market dependence and dynamic hedging performance between the U.S. equity market and major commodity assets across distinct crisis regimes. Using daily data for the S&P 500 index and four key commodities (WTI crude oil, gold,
Wiem Jouini +3 more
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On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
Econometrics, 2013 This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the ...
Yongning Wang, Ruey S. Tsay
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Multivariate GARCH Estimation via a Bregman-Proximal Trust-Region Method [PDF]
, 2012 Stéphane Chrétien, Juan‐Pablo Ortega
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Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
The Scientific World Journal, 2015 This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series.
Jiechen Tang +3 more
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Semiparametric multivariate GARCH models [PDF]
, 2003 This paper studies voting over quadratic taxation when income is fixed and taxation non distortionary. The set of feasible taxes is compact and self-interested voters have corner preferences. We first show that, if a majority winning tax policy exists, it involves maximum progressivity.
HAFNER, Christian, ROMBOUTS, Jeroen
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Entropy, 2015 In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation.
Yingchao Zou, Lean Yu, Kaijian He
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Digital Currencies: A Multivariate GARCH Approach
, 2020 In this paper we will present quantifiable linkages between five different cryptocurrencies, those being Bitcoin, Ethereum, Ripple, Dash and Monero. Initially, we conduct a review of the existing related work. As the concept of cryptocurrencies is fairly new, the relevant literature is very restricted.
Papangelou, Stamatis, Papadaki, Sofia
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, 2020 Bu çalışmada ,Risk hesaplamada kullanılan alternatif metodlar karşılaştırılmış ve IMKB 30 hisselerini içeren bir portföy belirli bir risk düzeyinde maximum getir sağlamasın için portföy oluşturan hisse senetlerinin hangi oranda dağıtılması gerektiğinin hesaplaması yapılmıştır.
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Outliers in multivariate Garch models [PDF]
, 2014 Outliers of moderate magnitude cause large changes in financial time series of prices and returns and affect both the estimation of parameters and volatilities when fitting a GARCH-type model. The multivariate setting is still to be studied, but similar biases and impacts on correlation dynamics are believed to exist.
Veiga, Helena +2 more
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