Results 181 to 190 of about 3,586 (227)

Analyzing the impact of remittance, FDI and inflation rate on GDP: A comparative study of Bangladesh, Pakistan and Sri-Lanka using VAR and BEKK-GARCH approach. [PDF]

Heliyon
Jui FN, Hossain MJ, Das A, Sultana N, Islam MK.   +4 more
europepmc   +1 more source

The effects of the COVID-19 pandemic period on stock market return and volatility. Evidence from the Pakistan Stock Exchange.

PLoS One
Wang B, Waris M, Adamiak K, Adnan M, Hamad HA, Bhatti SM.   +5 more
europepmc   +1 more source

Testing for causality in variance using multivariate GARCH models [PDF]

Annals of Economics and Statistics, 2004
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based testing is to specify a multivariate volatility model, such ...
Christian M. HAFNER, Helmut HERWARTZ
openaire   +6 more sources

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Dynamic Factor Multivariate GARCH Model

SSRN Electronic Journal, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
André Alves Portela Santos, Guilherme V. Moura   +1 more
openaire   +1 more source

Analytical Score for Multivariate GARCH Models [PDF]

Computational Economics, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

Affine multivariate GARCH models

Journal of Banking & Finance, 2020
Abstract This paper introduces a class of Affine multivariate GARCH models. Our setting offers flexibility to accommodate stylized facts of asset returns like dynamic conditional correlation and a covariance dependent pricing kernel. The model admits a closed-form recursive representation for the moment generating function under both historical and ...
Marcos Escobar-Anel, Javad Rastegari, Lars Stentoft   +2 more
openaire   +1 more source

A multivariate skew-garch model

2005
Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news.
DE LUCA, GIOVANNI, LOPERFIDO N, GENTON M.   +2 more
openaire   +3 more sources

Robust M-Estimation of Multivariate GARCH models

SSRN Electronic Journal, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kris Boudt, Christophe Croux
openaire   +4 more sources

Multivariate GARCH Modeling

2003
When modeling multivariate economic and financial time series using vector autoregressive (VAR) models, squared residuals often exhibit significant serial correlation. For univariate time series, Chapter 7 indicates that the time series may be conditionally heteroskedastic, and GARCH models have been proved to be very successful at modeling the serial ...
Eric Zivot, Jiahui Wang
openaire   +1 more source