Results 121 to 130 of about 3,586 (227)
Analytical quasi maximum likelihood inference in multivariate volatility models
Quasi maximum likelihood estimation and inference in multivariate volatility models remains a challenging computational task if, for example, the dimension is high.
Hafner, C.M., Herwartz, H.
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Multivariate GARCH Models: Software Choice and Estimation Issues [PDF]
A large number of important practical tasks can be accomplished using a multivariate GARCH model. This paper examines the relatively small number of software packages that are currently available for estimating such models, in spite of their widespread ...
Simon Burke, Chris Brooks, Gita Persand
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Model selection criteria for multivariate GARCH models
, 2021 In this study, theory of copula is used to establish criteria to select between multivariate GARCH models. It is common to use Multivariate GARCH models to study effects of shocks between markets. There are several MGARCH models which scholars have applied to different markets data. The problem of preferring one model to other model is not discussed by
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Wake me up before you GO-GARCH [PDF]
In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002).
Boswijk, H.P., Weide, R. van der
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A survey of multivariate GARCH models
, 2016 This paper reviews the recent developments in the multivariate GARCH literature. Most common multivariate GARCH models and their properties are briefly presented.
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Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility [PDF]
The aim of this paper is to examine the empirical usefulness of two new MSF - Scalar BEKK(1,1) models of n-variate volatility. These models formally belong to the MSV class, but in fact are some hybrids of the simplest MGARCH and MSV specifications. Such
Jacek Osiewalski, Anna Pajor
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A Multivariate Generalized Orthogonal Factor GARCH Model
The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector.
Saikkonen, Pentti, Lanne, Markku
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Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis [PDF]
This paper examines the transmission of spot electricity prices and price volatility among the five Australian electricity markets in the National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy ...
Adam Kay-Spratley +2 more
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Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
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Testing for causality in variance using multivariate GARCH models
Tests of causality in variance in multiple time serieshave been proposed recently, based on residuals of estimatedunivariate models. Although such tests are applied frequentlylittle is known about their power properties.
Hafner, C.M., Herwartz, H.
core