Results 21 to 30 of about 1,433 (209)
Ranking Multivariate GARCH Models by Problem Dimension [PDF]
SSRN Electronic Journal, 2010 In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002).
Massimiliano Caporin, Michael McAleer
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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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Variance Targeting Estimation of Multivariate GARCH Models [PDF]
Journal of Financial Econometrics, 2014 We establish the strong consistency and the asymptotic normality of the variance-targeting estimator (VTE) of the parameters of the multivariate CCC-GARCH($p,q$) processes. This method alleviates the numerical difficulties encountered in the maximization of the quasi likelihood by using an estimator of the unconditional variance. It is shown that
Francq, Christian +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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Detecting Shocks in The Economic Development Dynamics of Selected Countries
Folia Oeconomica Stetinensia, 2014 The paper examines the development of the Polish economy as well as the economies of selected countries in the period from 2001 to 2012. For that purpose, models based on the GDP growth in particular countries were built.
Janiga-Ćmiel Anna
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Dynamic Correlation Structure; Securities Risk and Return [PDF]
Journal of Asset Management and Financing, 2019 Objective: Modelling dynamic nature of covariance of assets return almost always is a challenging area of finance. Econometrics models just pay attention to variance behavior longitudinally, however, core of numerous finance models need the analysis of ...
Maryam Davallou, marzieh khosravi
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L1 Regularization for High-Dimensional Multivariate GARCH Models
RisksThe complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK ...
Sijie Yao, Hui Zou, Haipeng Xing
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Econometrics, 2023 This paper proposes a methodology for building Multivariate Time-Varying STCC–GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional ...
Anthony D. Hall +2 more
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Statistical Theory and Related Fields, 2021 This review paper discusses advances of statistical inference in modeling extreme observations from multiple sources and heterogeneous populations.
Zhengjun Zhang
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Modeling the interaction across international conventional and Islamic stock indices
Cogent Economics & Finance, 2021 Islamic financial instruments have been experiencing rapid growth in the last 50 years. Despite the unique motivation in formulating them, namely based on Syariah law, their movement might link to those of the conventional ones.
Abdul Hakim +3 more
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