Search Results - subject:"GARCH"

Dating common commodity price and inflation shocks with alternative approaches

Esposti, Roberto - In: Bio-based and applied economics 13 (2024) 2, pp. 171-201

processes. The first looks for common volatility clusters using individual GARCH models to detect whether and when respective …

Persistent link: https://www.econbiz.de/10015047658

Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks

Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23

We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We explored which model specification and distributional...

Persistent link: https://www.econbiz.de/10015050054

GARCHX-NoVaS : a model-free approach to incorporate exogenous variables

Wu, Kejin; Karmakar, Sayar; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014553270

Geopolitical risks and oil returns volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014576026

Energy market uncertainties and gold return volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014576041

Risk sensitive linear approximations

Solórzano Andrade, Gustavo; Parra-Alvarez, Juan Carlos - In: Economics letters 238 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015075489

The functional central limit theorem for Markov-switching GARCH model

Kwon, Dream; Lee, Oesook - In: Economics letters 238 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015075686

Monetary policy spillovers and inter-market dynamics perspective of preferred habitat model

Wahid, Abdul; Kowalewski, Oskar - In: Economies : open access journal 12 (2024) 5, pp. 1-16

GARCH process, enhanced by Dynamic Conditional Correlations (DCC), as well as the Markov Switching Model, this research …

Persistent link: https://www.econbiz.de/10014636021

Financial and oil market's co-movements by a regime-switching copula

Soury, Manel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-19

process. The marginals of the returns are modeled by the GARCH and GAS models. Empirical results show that the RS copula model …

Persistent link: https://www.econbiz.de/10014636410

Foreign exchange futures trading and spot market volatility in Thailand

Woradee Jongadsayakul - In: Risks : open access journal 12 (2024) 7, pp. 1-20

This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity, including trading volume and open interest in the Thailand...

Persistent link: https://www.econbiz.de/10014637194