Results 201 to 210 of about 3,586 (227)

Fourth Moment Structure of Multivariate GARCH Models

Journal of Financial Econometrics, 2003
This article derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross products. Results are provided for the kurtosis and cokurtosis between components.
openaire   +2 more sources

On spatial contagion and multivariate GARCH models

Applied Stochastic Models in Business and Industry, 2013
We propose a method for defining and measuring spatial contagion between two financial markets via conditional copulas. Some theoretical results on monotonicity and asymptotic properties of Gaussian copulas with respect to conditioning are presented. Next, we combine the spatial contagion approach with time series models.
Jaworski, Piotr, Pitera, Marcin
openaire   +3 more sources

Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

Statistical Methods and Applications, 2007
The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical properties are investigated. The model can be regarded as a generalization to a multivariate setting of the univariate BLGARCH model proposed by Storti and Vitale (2003a; 2003b).
openaire   +4 more sources

Hybrid deep learning and GARCH-family models for forecasting volatility of cryptocurrencies

Machine Learning With Applications, 2023
Salim Lahmiri
exaly  

Option pricing with conditional GARCH models

European Journal of Operational Research, 2021
Marcos Escobar-Anel, Lars Stentoft
exaly  

Stacking hybrid GARCH models for forecasting Bitcoin volatility

Expert Systems With Applications, 2021
Serkan Aras
exaly  

Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression

Energies, 2021
Marcin Fałdziński, Piotr Fiszeder, Witold Orzeszko   +2 more
exaly  

Estimating yield spreads volatility using GARCH-type models

North American Journal of Economics and Finance, 2021
Jong-Min Kim, Hojin Jung
exaly  

The Mardia’s Kurtosis of a Multivariate GARCH Model

2022
Cinzia Franceschini, Nicola Loperfido
openaire   +3 more sources

Empirical investigation on modeling solar radiation series with ARMA–GARCH models

Energy Conversion and Management, 2015
Huaiwei Sun, Dong Yan, Jianzhong Zhou
exaly