Results 11 to 20 of about 1,433 (209)
Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models [PDF]
Energies, 2022 Crude oil and natural gas are crucial to the Russian economy. Therefore, this study examined the interconnections between crude oil price, natural gas price, and Russian economic policy uncertainty (EPU) over the period 1994–2019 using multivariate DCC ...
Salim Hamza Ringim +3 more
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Multivariate GARCH models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Annastiina Silvennoinen +1 more
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Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo [PDF]
Dependence Modeling, 2019 The Copula Multivariate GARCH (CMGARCH) model is based on a dynamic copula function with time-varying parameters. It is particularly suited for modelling dynamic dependence of non-elliptically distributed financial returns series.
Burda Martin, Bélisle Louis
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Multivariate Variance Targeting in the BEKK-GARCH Model [PDF]
SSRN Electronic Journal, 2012 This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de finition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi ed likelihood function, or estimating function, corresponding to these two steps.
Rasmus Søndergaard Pedersen +1 more
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A Multivariate GARCH Model with Time-Varying Correlations [PDF]
SSRN Electronic Journal, 2000 In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an ...
Yiu Kuen Tse, Albert K. Tsui
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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
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Modeling and forecasting the volatility of some industry development indicators in Ethiopia using multivariate GARCH models [PDF]
Scientific ReportsIndustry development indicators refer to a set of measures used to assess the performance and growth of industries. The main aim of this study was to assess the relationship between industry development indicators in Ethiopia using a multivariate GARCH ...
Getachew Abate Dagnew +2 more
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Bayesian Semiparametric Multivariate Realized GARCH Modeling [PDF]
Journal of ForecastingABSTRACTThis paper introduces a novel Bayesian semiparametric multivariate GARCH framework for modeling returns and realized covariance, as well as approximating their joint unknown conditional density. We extend existing parametric multivariate realized GARCH models by incorporating a Dirichlet process mixture of countably infinite normal ...
Efthimios Nikolakopoulos
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Semiparametric multivariate GARCH models [PDF]
, 2003 This paper studies voting over quadratic taxation when income is fixed and taxation non distortionary. The set of feasible taxes is compact and self-interested voters have corner preferences. We first show that, if a majority winning tax policy exists, it involves maximum progressivity.
Christian Hafner, Jeroen V.K. Rombouts
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International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
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