Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation [PDF]
, 2020 Peng Cheng +2 more
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Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
PLoS OneSiddiqui N, Mohamad Hasim H.
europepmc +1 more source
On spatial contagion and multivariate GARCH models
, 2013 Piotr Jaworski, Marcin Pitera
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Financial data modelling using multivariate garch models
, 2017 In this paper we investigate the relationship among the biggest Baltic States construction sector companies daily returns. The sample period is from 2008-11-01 to 2016-05-06. An adequate VAR model is constructed after analyzing the stationarity of the variables and performing lag selection.
openaire +1 more source
Nickel price forecasting based onempirical mode decomposition and deep learning model with expansion mechanism. [PDF]
PLoS OneLi J, Yu Z, Zhang J, Meng W.
europepmc +1 more source
Value at Risk long memory volatility models with heavy-tailed distributions for cryptocurrencies. [PDF]
Front Appl Math StatSubramoney SD, Chinhamu K, Chifurira R.
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Extended Constant Conditional Correlation (ECCC) Model for Multivariate GARCH Time Series: an Illustration [PDF]
, 2014 Seung Yeon Lee, Sun Young Hwang
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Enhancing Prediction by Incorporating Entropy Loss in Volatility Forecasting. [PDF]
Entropy (Basel)Urniezius R +9 more
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Early warning of regime switching in a financial time series: A heteroskedastic network model. [PDF]
PLoS OneWang L, An S, Dong Z, Dong X, Li J.
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