Results 11 to 20 of about 3,586 (227)
Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models
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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Testing the volatility spillover between crude oil price and the U.S. stock market returns [PDF]
Management Science Letters, 2019 The study aims to examine the volatility transmission between the West Texas Intermediate (WTI) crude oil price returns and the U.S. stock market (S&P500 index) returns for the period 2006-2016.
Mehmet Kondoz +3 more
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Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 Volatility Contagion between Stock Market and Exchange Rate in Mexico and Brazil (2000-2020) This paper analyzes volatility contagion between exchange and stock market in Mexico and Brazil during the period January/2000- November/2020.
Jorge López Villa, Miriam Sosa Castro
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Bayesian semiparametric multivariate GARCH modeling [PDF]
Journal of Econometrics, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mark J. Jensen, John M. Maheu
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Modeling covariance breakdowns in multivariate GARCH [PDF]
Journal of Econometrics, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jin, Xin, Maheu, John M
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Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
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Borsa Istanbul Review, 2022 Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility spillover effect on stock indexes using multivariate GARCH models and wavelet methods.
Süleyman Gürbüz, Ahmet Şahbaz
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Bahar-Azadi Gold Coin Hedging Strategies: A Comparison of ADCC, GO-GARCH and Copula-GARCH Approaches [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2018 In this paper, we employ a new generation of multivariate volatility models, i.e. ADCC, GO-GARCH and Copula-GARCH to estimate and investigate the hedging performance for Bahar-Azadi Gold Coins spot markets (GC) and Futures market (GCF), during 27/10/2010
Elham Farzanegan
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Estimation of multivariate asymmetric power GARCH models
Journal of Multivariate Analysis, 2022 It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new class of multivariate power transformed asymmetric models. It includes several functional forms of multivariate GARCH models which are of great interest in financial modeling ...
Y. Boubacar Mainassara +2 more
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Semi- and Nonparametric ARCH Processes
Journal of Probability and Statistics, 2011 ARCH/GARCH modelling has been successfully applied in empirical finance for many years. This paper surveys the semiparametric and nonparametric methods in univariate and multivariate ARCH/GARCH models.
Oliver B. Linton, Yang Yan
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