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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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Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation [PDF]
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance.
Michael McAleer, Massimiliano Caporin
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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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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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Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH [PDF]
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances.
Michael McAleer, Massimiliano Caporin
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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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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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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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Robust ranking of multivariate GARCH models by problem dimension [PDF]
Computational Statistics & Data Analysis, 2014 During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an empirical comparison of alternative MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC), CCC, OGARCH Exponentially ...
CAPORIN, MASSIMILIANO, Michael McAleer
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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
doaj