Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models. [PDF]
Springerplus, 2015 Nortey EN +3 more
europepmc +1 more source
Testing the Dynamic Linkages of the Pakistani Stock Market with Regional and Global Markets
Lahore Journal of EconomicsThis article examines the dynamic linkages between Pakistan’s emerging stock market and (i) the US market and (ii) the regional markets of India and Japan.
Zohaib Aziz, Javed Iqbal
doaj
New multivariate time-series estimators in Stata [PDF]
Stata 11 has new commands sspace and dvech for estimating the parameters of space-space models and diagonal-vech multivariate GARCH models, respectively.
David M. Drukker
core
Multivariate Autocontours for Specification Testing in Multivariate GARCH Models* [PDF]
, 2010 Gloria Gonzalez-Rivera, Emre Yoldas
openaire +1 more source
Modeling the Dynamics, Volatilities and Interrelations of the Mexican, Brent and WTI Oil Returns
Ensayos Revista de Economía, 2016 We study the dynamics, volatilities, and interrelations of the Mexican (MME), Brent and WTI oil returns with twelve multivariate GARCH models. The main results suggest that: 1) The volatility of MME is bigger than the one of the WTI but smaller than the ...
Antonio Ruiz-Porras +1 more
doaj
The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence [PDF]
In this paper, we propose a nonlinear multivariate GARCH-M model. We have illustrated the actual modelling by applying the models to inflation and output growth variables and found that the effects of real and nominal uncertainties are regime-dependent ...
Tolga Omay
core
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.
Mittnik, Stefan, Haas, Markus
core
Currency Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
This paper examines the effect on the effectiveness of using futures contracts as hedging instruments of: 1) the model of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of the futures ...
Juan-Ángel Jiménez-Martín +2 more
core
Multivariate Regime–Switching GARCH with an Application to International Stock Markets [PDF]
We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure.
Markus Haas, Stefan Mittnik
core
Block Structure Multivariate Stochastic Volatility Models [PDF]
Most multivariate variance models suffer from a common problem, the “curse of dimensionalityâ€. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature
Asai, M., Caporin, M.
core +1 more source