The Mean Variance Mixing GARCH (1,1) model [PDF]
Here we present a general framework for a GARCH (1,1) type of process with innovations with a probability law of the mean- variance mixing type, therefore we call the process in question the mean variance mixing GARCH \ (1,1) or MVM GARCH\(1,1).
Anders Eriksson, Lars Forsberg
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Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management [PDF]
In this paper we derive the closed form solution for multistep predictions of the conditional means and their covariances from multivariate ARMA-GARCH models. These are useful e.g.
Jaroslava Hlouskova +2 more
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Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]
PLoS One, 2023 Danila N.
europepmc +1 more source
A Kernel Technique for Forecasting the Variance-Covariance Matrix [PDF]
The forecasting of variance-covariance matrices is an important issue. In recent years an increasing body of literature has focused on multivariate models to forecast this quantity.
Adam Clements +2 more
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The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets. [PDF]
Res Int Bus Finance, 2022 Corbet S, Hou YG, Hu Y, Oxley L.
europepmc +1 more source
Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach [PDF]
The episodes of stock market crises in Europe and the U.S.A.since the year 2000,and the fragility of the international stock markets,have sparked the interest of researchers in understanding and in modeling the marketsâ rising volatilities in order to ...
Ryan SULEIMANN
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Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets. [PDF]
Financ Res Lett, 2022 Bakry W +4 more
europepmc +1 more source
Testing the weak-form market efficiency and the day of the week effects of some African countries. [PDF]
The aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that
Batuo Enowbi, Michael +2 more
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Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. [PDF]
Comput Manag Sci, 2023 Staino A +3 more
europepmc +1 more source
Hedging with CO2 allowances: the ECX market [PDF]
We investigate and empirically estimate optimal hedge ratios, for the first time, in the EU ETS carbon market. Minimum variance hedge ratios are conditionally estimated with multivariate GARCH models, and unconditionally by OLS and the naïve strategy for
Carlos Pinho, Mara Madaleno
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