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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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Angewandte Chemie, EarlyView.A metal‐free fluorinated ketazine‐linked COF is introduced as an efficient electrocatalyst for nitrate reduction to ammonia under neutral conditions. Fluorine substitution enhances π–π stacking and crystallinity, enabling a Faradaic efficiency of 59.9% and an NH3 yield rate of 1639.9 µmol h−1 mgCOF−1 at −0.9 V versus RHE. This establishes an unexplored
Islam E. Khalil +12 more
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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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On asymptotic theory for multivariate GARCH models
Journal of Multivariate Analysis, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christian M. Hafner, Arie Preminger
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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.
Pedersen, Rasmus Søndergaard +1 more
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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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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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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 ...
Y.K. Tse, Albert K.C. Tsui
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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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