Results 61 to 70 of about 1,433 (209)

Portmanteau test for a class of multivariate asymmetric power GARCH model [PDF]

, 2022
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau   +2 more
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Forecasting Stock Market Volatility Using CNN-BiLSTM-Attention Model with Mixed-Frequency Data

Mathematics
Existing stock volatility forecasting models predominantly rely on same-frequency market data while neglecting mixed-frequency integration and face particular challenges in incorporating low-frequency macroeconomic variables that exhibit temporal ...
Yufeng Zhang, Tonghui Zhang, Jingyi Hu
doaj   +1 more source

Multivariate leverage effects and realized semicovariance GARCH models

Journal of Econometrics, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bollerslev, T, Patton, AJ, Quaedvlieg, R
openaire   +4 more sources

Multivariate garch models

, 2020
Bu çalışmada ,Risk hesaplamada kullanılan alternatif metodlar karşılaştırılmış ve IMKB 30 hisselerini içeren bir portföy belirli bir risk düzeyinde maximum getir sağlamasın için portföy oluşturan hisse senetlerinin hangi oranda dağıtılması gerektiğinin hesaplaması yapılmıştır.
openaire   +1 more source

Testing causality between two vectors in multivariate GARCH models [PDF]

International Journal of Forecasting, 2015
The family of Constant Conditional Correlation GARCH models is used to model the risk associated with financial time series and to make inferences about Granger-causal relationships between second conditional moments. The restrictions for second-order Granger noncausality between two vectors of variables are derived and assessed using posterior odds ...
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Day-of-the-week effect on the Tunisian stock market return and volatility

Cogent Business & Management, 2016
In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and
Abdelkader Derbali, Slaheddine Hallara
doaj   +1 more source

Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

Statistical Methods and Applications, 2007
The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical properties are investigated. The model can be regarded as a generalization to a multivariate setting of the univariate BLGARCH model proposed by Storti and Vitale (2003a; 2003b).
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Determinants of food price volatility in Nigeria

Agricultura Tropica et Subtropica, 2018
In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility ...
Fasanya Ismail Olaleke, Olawepo Feyikunayo   +1 more
doaj   +1 more source

Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation [PDF]

, 2022
Cheng Peng, Young Shin Kim, Stefan Mittnik   +2 more
openalex   +1 more source

Metal Returns, Stock Returns and Stock Market Volatility

Economía, 2015
Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the ...
Mauricio Zevallos, Carlos del Carpio
doaj