Results 51 to 60 of about 1,433 (209)
Bayesian inference of multivariate-GARCH-BEKK models
Statistical Papers, 2022 AbstractThe main aim of this paper is to present a Bayesian analysis of Multivariate GARCH(l, m) (M-GARCH) models including estimation of the coefficient parameters as well as the model order, by combining a set of existing MCMC algorithms in the literature. The proposed algorithm focuses on the BEKK formulation of the multivariate GARCH model.
G. C. Livingston, Darfiana Nur
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EconometricsWe analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized by variable selection.
O-Chia Chuang +3 more
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Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
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Optimizing the Model Investment Portfolios Based on Coherent Risk Measures under Conditions of Asymmetric Financial Market Volatility [PDF]
Problemi EkonomikiThis article is dedicated to the optimization of model investment portfolios by integrating asymmetric volatility forecasting using GJR-GARCH models, considering the minimization of Conditional Value at Risk (CVaR).
Manoilenko Oleksandr V. +2 more
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Spatial Multivariate GARCH Models and Financial Spillovers [PDF]
, 2023 Rosella Giacometti +3 more
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Research on the Application and Optimization of Mathematical Models in Financial Market Risk Management [PDF]
SHS Web of ConferencesThis paper applied mathematical models to conduct an in-depth discussion and empirical analysis of financial market risk management. The daily rate of return data on the S&P 500 index, selected through data processing, included data cleaning, return ...
Pan Yuyang
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Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea
East Asian Economic Review, 2016 This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a ...
Heejoon Han , Na Kyeong Lee
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Semiparametric Estimation of Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2015 The paper introduces a new simple semiparametric estimator of the conditional variance covariance and correlation matrix (SP-DCC). While sharing a similar sequential approach to existing dynamic conditional correlation (DCC) methods, SP-DCC has the advantage of not requiring the direct parameterization of the conditional covariance or correlation ...
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Outliers in multivariate Garch models [PDF]
, 2014 Outliers of moderate magnitude cause large changes in financial time series of prices and returns and affect both the estimation of parameters and volatilities when fitting a GARCH-type model. The multivariate setting is still to be studied, but similar biases and impacts on correlation dynamics are believed to exist.
Veiga, Helena +2 more
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MathematicsThis study proposes Bayesian estimation of multivariate regular vine (R-vine) copula models with generalized autoregressive conditional heteroskedasticity (GARCH) margins modeled by Gaussian-mixture distributions.
Rewat Khanthaporn, Nuttanan Wichitaksorn
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