Results 91 to 100 of about 1,433 (209)

Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]

Entropy (Basel)
Than HT.
europepmc   +1 more source

Markov-Switching Multivariate GARCH Model with Copula-Distributed Innovations

Markus J. Fülle, Helmut Herwartz, Shu Wang   +2 more
openalex   +1 more source

Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]

PLoS One
Zeng J, Wu J.
europepmc   +1 more source

Interactions between stock prices and exchange rates: An application of multivariate VAR-GARCH model

, 2019
Charles O. Manasseh, Ndubuisi Obeka Chukwu, Felicia C. Abada, Jonathan E. Ogbuabor, Adedoyin Isola Lawal, Felix C. Alio   +5 more
openalex   +1 more source

Dynamic forecasting and mechanisms of volatility synchronization in complex financial systems. [PDF]

PLoS One
Li JC, Guo J, Ma R, Zhong G.
europepmc   +1 more source

Incorporating overnight and intraday returns into multivariate GARCH volatility models

, 2019
Geert Dhaene, Jianbin Wu
openalex   +2 more sources

Estimation of temporally aggregated multivariate GARCH models [PDF]

, 2006
Christian Hafner, Jeroen V.K. Rombouts
openalex   +1 more source

bmgarch: Bayesian Multivariate GARCH Models [PDF]

, 2020
Philippe Rast, Stephen R. Martin
openalex   +1 more source

AI-Carbon-Energy: Spillover effects and drivers in interconnected markets. [PDF]

iScience
Zhang M, Pan Y, Su B, Zhou D.
europepmc   +1 more source

Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach

, 2008
Jie Zhu
openalex   +1 more source