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Rosella Giacometti, Gabriele Torri, Kamonchai Rujirarangsan and Michela Cameletti
We estimate the risk spillover among European banks from equity log-return data via Conditional Value at Risk (CoVaR). The joint dynamic of returns is modeled with a spatial DCC-GARCH which allows the conditional variance of log-returns of each bank to d...
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Sangwhan Kim and Anil K. Bera
The variance?covariance matrix is a multi-dimensional array of numbers, containing information about the individual variabilities and the pairwise linear dependence of a set of variables. However, the matrix itself is difficult to represent in a concise ...
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Apostolos Ampountolas
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of...
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O-Chia Chuang and Chenxu Yang
Many macro-level variables have been used in forecasting crude oil price volatility. This article aims to identify which variables have the greatest impact and give more accurate predictions. The GARCH-MIDAS model with variable selection enables us to in...
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Cheng Peng, Young Shin Kim and Stefan Mittnik
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GAR...
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Pierre J. Venter and Eben Maré
In this paper, the Heston?Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricin...
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Manabu Asai, Chia-Lin Chang, Michael McAleer and Laurent Pauwels
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed var...
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Hugo Ferrer-Pérez, Fadi Abdelradi and José M. Gil
For decades, food quality standards have attracted the interest of governance institutions and regulation authorities, who have responded to the increasing and demanding societal challenges. In addition, the open debate on significant variability and unu...
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Bachar FAKHRY
Pág. 227 - 256
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Hudson Chaves Costa,Sabino da Silva Porto Junior,Gabrielito Menezes
Pág. 635 - 667
This article examines empirically the behavior of the correlation between the return of shares listed on the BMF& BOVESPA over the period from 2000 to 2015. To this end, we use multivariate GARCH models introduced by Bollerslev (1990) to remove the tempo...
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Wendy Sidon Meira de Oliveira,André Nunes Maranhão
Pág. 569 - 603
We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the t...
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Lucas Lucio Godeiro
Pág. 253 - 275
The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas ...
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Marcelo Brutti Righi,Paulo Sergio Ceretta
Pág. 529 - 550
In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the dai...
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Jelena Minovic
Pág. 73 - 87
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Yassine Belasri,Rachid Ellaia
Pág. 384 - 396
Volatility and correlation are important metrics of risk evaluation for financial markets worldwide. The latter have shown that these tools are varying over time, thus, they require an appropriate estimation models to adequately capture their dynamics. M...
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Kaijian He, Kin Keung Lai and Guocheng Xiang
In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical m...
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Kaijian He, Kin Keung Lai and Guocheng Xiang
In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical m...
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Anthony D. Hall, Annastiina Silvennoinen and Timo Teräsvirta
This paper proposes a methodology for building Multivariate Time-Varying STCC?GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional ...
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Jian Kang, Johan Stax Jakobsen, Annastiina Silvennoinen, Timo Teräsvirta and Glen Wade
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as...
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E.M. Afsal,Mohammad Imdadul Haque
Pág. 1025 - 1034
The price movements in gold market are considered to detect non-linear dependencies with stock market in the Saudi Arabian context. Both the univariate and multivariate models of GARCH class are employed in this study. Initially, the work uses GARCH (1,1...
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