Results 31 to 40 of about 1,433 (209)
Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
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Recursive MEWMA Projections of Conditional Covolatilities in Large Portfolios [PDF]
Statistika: Statistics and Economy JournalDynamic predictions of large dimensional conditional covariance matrices are considered in the context of large financial portfolios. Since numerically simple prediction methods are usually recommended for multivariate conditional covariances ...
Radek Hendrych, Tomáš Cipra
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Mathematics, 2021 Since the launch of Bitcoin, there has been a lot of controversy surrounding what asset class it is. Several authors recognize the potential of cryptocurrencies but also certain deviations with respect to the functions of a conventional currency. Instead,
Ángeles Cebrián-Hernández +1 more
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Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
Mathematics, 2021 We consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, the index of the only international market exclusively for Latin American firms that is denominated by the euro. Since there is not a futures market on the index,
Pablo Urtubia +2 more
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Portfolio Optimization Using Multivariate GARCH Models: Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2011 In this paper, In order to optimize the portfolio consisting of selected industrial stocks of Petroleum products, automobiles and parts, electrical industry and extraction of minerals from Tehran Stock Exchange member, First, time – varying conditional ...
Hassan Heidari, Ahmad Molabahrami
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Entropy, 2015 In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation.
Yingchao Zou, Lean Yu, Kaijian He
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A multivariate realized GARCH model
Journal of EconometricsWe propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the use of factor models for correlations.
Archakov, Ilya +2 more
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Multivariate GARCH models: software choice and estimation issues [PDF]
Journal of Applied Econometrics, 2003 The development of multivariate generalized autoregressive conditionally heteroscedastic (MGARCH) models from the original univariate specifications represented a major step forward in the modelling of time series. MGARCH models permit time-varying conditional covariances as well as variances, and the former quantity can be of substantial practical use
Brooks, Chris +2 more
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Optimal Foreign Exchange Portfolio for Iran [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2010 Management of Foreign exchange reserves is important for every country. This matter is also of particular interest for Iran as an Oil exporting developing country. This paper designs an optimal portfolio for that part of foreign exchange incomes which is
Zahra Nasrollahi, Mina Shahviri,
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On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
Econometrics, 2013 This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the ...
Yongning Wang, Ruey S. Tsay
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