Results 1 to 10 of about 1,433 (209)

Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2020
In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
doaj   +1 more source

Multivariate GARCH Models: A Survey [PDF]

SSRN Electronic Journal, 2003
AbstractThis paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.
BAUWENS, Luc, LAURENT, Sébastien, ROMBOUTS, Jeroen   +2 more
openaire   +3 more sources

Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models

Econometrics, 2021
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed ...
Manabu Asai, Chia-Lin Chang, Michael McAleer, Laurent Pauwels   +3 more
doaj   +1 more source

Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach [PDF]

Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2016
The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased ...
Hossein Tavakolian, Seyed Amir Etemadi, Reza Tehrani   +2 more
doaj   +1 more source

Bayesian semiparametric multivariate GARCH modeling [PDF]

Journal of Econometrics, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mark J. Jensen, John M. Maheu
openaire   +4 more sources

Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]

Management Science Letters, 2019
The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz, Ilhan Bora, Dervis Kirikkaleli, Seyed Alireza Athari   +3 more
doaj   +1 more source

Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)

Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021
Volatility Contagion between Stock Market and Exchange Rate in Mexico and Brazil (2000-2020) This paper analyzes volatility contagion between exchange and stock market in Mexico and Brazil during the period January/2000- November/2020.
Jorge López Villa, Miriam Sosa Castro
doaj   +1 more source

Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul

Borsa Istanbul Review, 2022
Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility spillover effect on stock indexes using multivariate GARCH models and wavelet methods.
Süleyman Gürbüz, Ahmet Şahbaz
doaj   +1 more source

Modeling covariance breakdowns in multivariate GARCH [PDF]

Journal of Econometrics, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jin, Xin, Maheu, John M
openaire   +3 more sources

Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015
The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
doaj   +1 more source