Journal articles on the topic 'Time-Varying Multivariate GARCH Models'
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Klepáč, Václav, and David Hampel. "Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 63, no. 4 (2015): 1287–95. http://dx.doi.org/10.11118/actaun201563041287.
Full textTeulon, Frederic, Khaled Guesmi, and Salma Fattoum. "Is There A Difference Between Domestic And Foreign Risk Premium? The Case Of China Stock Market." Journal of Applied Business Research (JABR) 30, no. 5 (August 26, 2014): 1287. http://dx.doi.org/10.19030/jabr.v30i5.8785.
Full textMootamri, Imène. "Long Memory Process in Asset Returns with Multivariate GARCH Innovations." Economics Research International 2011 (September 7, 2011): 1–15. http://dx.doi.org/10.1155/2011/564952.
Full textFengler, Matthias R., and Helmut Herwartz. "Measuring Spot Variance Spillovers when (Co)variances are Time-varying - The Case of Multivariate GARCH Models." Oxford Bulletin of Economics and Statistics 80, no. 1 (May 16, 2017): 135–59. http://dx.doi.org/10.1111/obes.12191.
Full textShiferaw, Yegnanew A. "Time-varying correlation between agricultural commodity and energy price dynamics with Bayesian multivariate DCC-GARCH models." Physica A: Statistical Mechanics and its Applications 526 (July 2019): 120807. http://dx.doi.org/10.1016/j.physa.2019.04.043.
Full textWU, EDMOND H. C., PHILIP L. H. YU, and W. K. LI. "VALUE AT RISK ESTIMATION USING INDEPENDENT COMPONENT ANALYSIS-GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ICA-GARCH) MODELS." International Journal of Neural Systems 16, no. 05 (October 2006): 371–82. http://dx.doi.org/10.1142/s0129065706000779.
Full textPradhan, Kailash. "The Hedging Effectiveness of Stock Index Futures: Evidence for the S&P CNX Nifty Index Traded in India." South East European Journal of Economics and Business 6, no. 1 (April 1, 2011): 111–23. http://dx.doi.org/10.2478/v10033-011-0010-2.
Full textBurda, Martin, and Louis Bélisle. "Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo." Dependence Modeling 7, no. 1 (June 3, 2019): 133–49. http://dx.doi.org/10.1515/demo-2019-0006.
Full textMetsileng, Lebotsa Daniel, Ntebogang Dinah Moroke, and Johannes Tshepiso Tsoku. "The Application of the Multivariate GARCH Models on the BRICS Exchange Rates." Academic Journal of Interdisciplinary Studies 9, no. 4 (July 10, 2020): 23. http://dx.doi.org/10.36941/ajis-2020-0058.
Full textLinton, Oliver B., and Yang Yan. "Semi- and Nonparametric ARCH Processes." Journal of Probability and Statistics 2011 (2011): 1–17. http://dx.doi.org/10.1155/2011/906212.
Full textKaura, Ruchika, Nawal Kishor, and Namita Rajput. "VOLATILITY SPILLOVER BETWEEN SPOT AND FUTURES MARKET OF HIGHLY TRADED COMMODITIES IN INDIA: The DCC-GARCH Approach." Australian Journal of Business and Management Research 05, no. 09 (July 10, 2018): 34–49. http://dx.doi.org/10.52283/nswrca.ajbmr.20180509a04.
Full textMendes, Beatriz Vaz de Melo. "Calculando VaR Condicionais Usando Cópulas que Variam no Tempo." Brazilian Review of Finance 3, no. 2 (January 1, 2005): 251. http://dx.doi.org/10.12660/rbfin.v3n2.2005.1152.
Full textAsai, Manabu, Chia-Lin Chang, Michael McAleer, and Laurent Pauwels. "Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models." Econometrics 9, no. 2 (May 4, 2021): 21. http://dx.doi.org/10.3390/econometrics9020021.
Full textKah, Fatoumata Baboucar Omar, and Abdou Kâ Diongue. "Modeling exchange rate volatility in the gambia using dynamic conditonal correlaton model." African Journal of Applied Statistics 7, no. 1 (January 1, 2020): 805–27. http://dx.doi.org/10.16929/ajas/2020.805.243.
Full textTsuji, Chikashi. "A Multivariate Analysis of the Effects of Structural Breaks on Stock Return Volatility Persistence: The Case of the US and Japan." International Journal of Business Administration 10, no. 3 (March 27, 2019): 39. http://dx.doi.org/10.5430/ijba.v10n3p39.
Full textListon-Perez, Daniel, Patricio Torres-Palacio, and Sidika Gulfem Bayram. "Does investor sentiment predict Mexican equity returns?" International Journal of Managerial Finance 14, no. 4 (August 6, 2018): 484–502. http://dx.doi.org/10.1108/ijmf-05-2017-0088.
Full textSakti, Muhammad Rizky Prima. "Testing the conditional correlations and volatility spillovers between US and ASEAN Islamic stock markets: A Multivariate GARCH Analysis." Global Review of Islamic Economics and Business 2, no. 1 (May 5, 2015): 029. http://dx.doi.org/10.14421/grieb.2014.021-03.
Full textDo, Giam Quang, Nguyen Van Phuong, and Vu Thi Hai. "Estimating Conditional Correlations among Subgroups of Service Sector in Vietnam Stock Exchanges." IAR Journal of Business Management 3, no. 02 (April 10, 2022): 33–41. http://dx.doi.org/10.47310/iarjbm.2022.v03i02.006.
Full textMurty, Sarika, Vijay Victor, and Maria Fekete-Farkas. "Is Bitcoin a Safe Haven for Indian Investors? A GARCH Volatility Analysis." Journal of Risk and Financial Management 15, no. 7 (July 21, 2022): 317. http://dx.doi.org/10.3390/jrfm15070317.
Full textKUMAR, K. KIRAN, and SHREYA BOSE. "HEDGING EFFECTIVENESS OF CROSS-LISTED NIFTY INDEX FUTURES." Global Economy Journal 19, no. 02 (June 2019): 1950011. http://dx.doi.org/10.1142/s2194565919500118.
Full textSingh, Amit Kumar, Rajat Agarwal, and Rohit Kumar Shrivastav. "Returns and Volatility Spillover Between BSE SENSEX and BSE SME Stock Exchange of India." SEDME (Small Enterprises Development, Management & Extension Journal): A worldwide window on MSME Studies 48, no. 3 (September 2021): 257–71. http://dx.doi.org/10.1177/09708464211070054.
Full textGaiduchevici, Gabriel. "A Method for Systemic Risk Estimation Based on CDS Indices." Review of Economic and Business Studies 8, no. 1 (June 1, 2015): 103–24. http://dx.doi.org/10.1515/rebs-2016-0018.
Full textMoran, John L., and Patricia J. Solomon. "Volatility in High-Frequency Intensive Care Mortality Time Series: Application of Univariate and Multivariate GARCH Models." Open Journal of Applied Sciences 07, no. 08 (2017): 385–411. http://dx.doi.org/10.4236/ojapps.2017.78030.
Full textGhorbel, Achraf, and Ahmed Jeribi. "Contagion of COVID-19 pandemic between oil and financial assets: the evidence of multivariate Markov switching GARCH models." Journal of Investment Compliance 22, no. 2 (May 20, 2021): 151–69. http://dx.doi.org/10.1108/joic-01-2021-0001.
Full textYeshiwas, Dawit, and Yebelay Berelie. "Forecasting the Covolatility of Coffee Arabica and Crude Oil Prices: A Multivariate GARCH Approach with High-Frequency Data." Journal of Probability and Statistics 2020 (April 4, 2020): 1–10. http://dx.doi.org/10.1155/2020/1424020.
Full textSung, Sang-Ha, Jong-Min Kim, Byung-Kwon Park, and Sangjin Kim. "A Study on Cryptocurrency Log-Return Price Prediction Using Multivariate Time-Series Model." Axioms 11, no. 9 (September 1, 2022): 448. http://dx.doi.org/10.3390/axioms11090448.
Full textLieberman, Offer. "ASYMPTOTIC THEORY OF STATISTICAL INFERENCE FOR TIME SERIES." Econometric Theory 18, no. 4 (May 17, 2002): 993–99. http://dx.doi.org/10.1017/s0266466602004103.
Full textAbbas, Ghulam, and Shouyang Wang. "Does macroeconomic uncertainty really matter in predicting stock market behavior? A comparative study on China and USA." China Finance Review International 10, no. 4 (May 18, 2020): 393–427. http://dx.doi.org/10.1108/cfri-06-2019-0077.
Full textMatilainen, Markus, Jari Miettinen, Klaus Nordhausen, Hannu Oja, and Sara Taskinen. "On Independent Component Analysis with Stochastic Volatility Models." Austrian Journal of Statistics 46, no. 3-4 (April 12, 2017): 57–66. http://dx.doi.org/10.17713/ajs.v46i3-4.671.
Full textPerez Liston, Daniel. "Internet gambling stock returns: empirical evidence from the UK." International Journal of Managerial Finance 13, no. 1 (February 6, 2017): 36–49. http://dx.doi.org/10.1108/ijmf-10-2015-0176.
Full textUSMAN, Mustofa, N. INDRYANI, WARSONO A., and AMANTO WAMILIANA. "DYNAMIC MODELING OF TIME SERIES DATA USING BEKK-GARCH MODEL." Periódico Tchê Química 17, no. 36 (December 20, 2020): 1186–98. http://dx.doi.org/10.52571/ptq.v17.n36.2020.1202_periodico36_pgs_1186_1198.pdf.
Full textMcAleer, Michael, Felix Chan, Suhejla Hoti, and Offer Lieberman. "GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION." Econometric Theory 24, no. 6 (July 9, 2008): 1554–83. http://dx.doi.org/10.1017/s0266466608080614.
Full textBenavides, Guillermo. "PREDICTIVE ACCURACY OF FUTURES OPTIONS IMPLIED VOLATILITY: THE CASE OF THE EXCHANGE RATE FUTURES MEXICAN PESO-US DOLLAR." PANORAMA ECONÓMICO 5, no. 9 (April 26, 2017): 41. http://dx.doi.org/10.29201/pe-ipn.v5i9.83.
Full textJust, Małgorzata, and Aleksandra Łuczak. "Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods." Sustainability 12, no. 6 (March 24, 2020): 2571. http://dx.doi.org/10.3390/su12062571.
Full textCosta, Hudson Chaves, Sabino Da Silva Porto Junior, and Gabrielito Menezes. "Um Estudo Empírico da Dinâmica da Correlação do Retorno das Ações do Brasil." Brazilian Review of Finance 16, no. 4 (January 18, 2019): 635. http://dx.doi.org/10.12660/rbfin.v16n4.2018.72142.
Full textAiube, Fernando Antonio Lucena, and Winicius Botelho Faquieri. "Hedging the Brazilian stock index in the era of low interest rates: What has changed?" Brazilian Review of Finance 18, no. 3 (September 5, 2020): 5. http://dx.doi.org/10.12660/rbfin.v18n3.2020.81625.
Full textGu, Xiaomeng, Andrew Metcalfe, Nigel Cook, Chris Aldrich, and L. George. "Exploratory analysis of multivariate drill core time series measurements." ANZIAM Journal 63 (January 10, 2023): C208—C230. http://dx.doi.org/10.21914/anziamj.v63.17192.
Full textKharbanda, Varuna, and Archana Singh. "Futures market efficiency and effectiveness of hedge in Indian currency market." International Journal of Emerging Markets 13, no. 6 (November 29, 2018): 2001–27. http://dx.doi.org/10.1108/ijoem-08-2017-0320.
Full textHung, Ngo Thai. "Bitcoin and CEE stock markets: fresh evidence from using the DECO-GARCH model and quantile on quantile regression." European Journal of Management and Business Economics 30, no. 2 (May 18, 2021): 261–80. http://dx.doi.org/10.1108/ejmbe-06-2020-0169.
Full textNouman, Muhammad, Maria Hashim, Vanina Adoriana Trifan, Adina Eleonora Spinu, Muhammad Fahad Siddiqi, and Farman Ullah Khan. "Interest rate volatility and financing of Islamic banks." PLOS ONE 17, no. 7 (July 26, 2022): e0268906. http://dx.doi.org/10.1371/journal.pone.0268906.
Full textAktan, Bora, Renata Korsakienė, and Rasa Smaliukienė. "TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS." Journal of Business Economics and Management 11, no. 3 (September 30, 2010): 511–32. http://dx.doi.org/10.3846/jbem.2010.25.
Full textNarayan, Seema. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks." Journal of Risk and Financial Management 12, no. 4 (October 10, 2019): 160. http://dx.doi.org/10.3390/jrfm12040160.
Full textHaas, Markus, Jochen Krause, Marc S. Paolella, and Sven C. Steude. "Time-varying mixture GARCH models and asymmetric volatility." North American Journal of Economics and Finance 26 (December 2013): 602–23. http://dx.doi.org/10.1016/j.najef.2013.02.024.
Full textBibi, Abdelouahab, and Ahmed Ghezal. "QMLE of periodic time-varying bilinear– GARCH models." Communications in Statistics - Theory and Methods 48, no. 13 (November 22, 2018): 3291–310. http://dx.doi.org/10.1080/03610926.2018.1476703.
Full textChen, Bin, and Yongmiao Hong. "DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS." Econometric Theory 32, no. 3 (April 8, 2015): 740–91. http://dx.doi.org/10.1017/s0266466614000942.
Full textMehrara, Mohsen, and Monire Hamldar. "Time-Varying Optimal Hedge Ratio for Brent Oil Market." International Letters of Social and Humanistic Sciences 56 (July 2015): 103–6. http://dx.doi.org/10.18052/www.scipress.com/ilshs.56.103.
Full textLee, Sangyeol, Chang Kyeom Kim, and Sangjo Lee. "Hybrid CUSUM Change Point Test for Time Series with Time-Varying Volatilities Based on Support Vector Regression." Entropy 22, no. 5 (May 20, 2020): 578. http://dx.doi.org/10.3390/e22050578.
Full textRana, Surya Bahadur. "Dynamics of Time Varying Volatility in Stock Returns: Evidence from Nepal Stock Exchange." Journal of Business and Social Sciences Research 5, no. 1 (July 21, 2020): 15–34. http://dx.doi.org/10.3126/jbssr.v5i1.30196.
Full textChen, Cathy W. S., Richard Gerlach, and Edward M. H. Lin. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models." Computational Statistics & Data Analysis 76 (August 2014): 194–209. http://dx.doi.org/10.1016/j.csda.2013.09.019.
Full textDarolles, Serge, Christian Francq, and Sébastien Laurent. "Asymptotics of Cholesky GARCH models and time-varying conditional betas." Journal of Econometrics 204, no. 2 (June 2018): 223–47. http://dx.doi.org/10.1016/j.jeconom.2018.02.003.
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