Results 71 to 80 of about 3,586 (227)

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models [PDF]

The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK ...
Michael McAleer, Massimiliano Caporin
core   +4 more sources

Robust Estimation and Inference for Time‐Varying Unconditional Volatility

Journal of Time Series Analysis, EarlyView.
ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee, Rickard Sandberg, Genaro Sucarrat   +2 more
wiley   +1 more source

Research on the Application and Optimization of Mathematical Models in Financial Market Risk Management [PDF]

SHS Web of Conferences
This 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
doaj   +1 more source

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley   +1 more source

Asymmetric multivariate normal mixture GARCH [PDF]

, 2008
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed.
Mittnik, Stefan, Haas, Markus, Paolella, Marc S.   +2 more
core  

On Testing for Independence Between Generalized Error Models of Several Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi, Bouchra R. Nasri, Bruno N. Rémillard   +2 more
wiley   +1 more source

Asymmetric Multivariate Normal Mixture GARCH [PDF]

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed.
Markus Haas, Stefan Mittnik, Mark S. Paolella   +2 more
core  

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal ...
Tansuchat, R., McAleer, M.J., Chang, C-L.   +2 more
core   +3 more sources

Penalized Convex Estimation in Dynamic Location Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley   +1 more source

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, Martín-Barragán, Belén, Grané, Aurea   +2 more
openaire   +1 more source