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Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....

Persistent link: https://www.econbiz.de/10010837875

Splines for Financial Volatility

Audrino, Francesco; Bühlmann, Peter - School of Economics and Political Science, Universität … - 2007

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...

Persistent link: https://www.econbiz.de/10005797706

Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process

Audrino, Francesco; Medeiros, Marcelo C. - School of Economics and Political Science, Universität … - 2008

In this paper we propose a smooth transition tree model for both the conditional mean and the conditional variance of the short-term interest rate process. Our model incorporates the interpretability of regression trees and the flexibility of smooth transition models to describe regime switches...

Persistent link: https://www.econbiz.de/10005696729

How Volatile is ENSO?

McAleer, Michael; Chu, Chu, L.; Chen, Chen, C-C. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The El Niños Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface Temperature (SST) Index. The main purpose of this paper is to analyze these two indexes in...

Persistent link: https://www.econbiz.de/10010837928

Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan

Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009

the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …

Persistent link: https://www.econbiz.de/10010732596

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …

Persistent link: https://www.econbiz.de/10010732607

Dynamic Conditional Correlations for Asymmetric Processes

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to … estimating and forecasting the WDCC-EGARCH and WDCC-GJR models, and compares the performance with the asymmetric BEKK model. The … empirical results show that AIC and BIC favour the WDCC-EGARCH model to the WDCC-GJR and asymmetric BEKK models. Moreover, the …

Persistent link: https://www.econbiz.de/10010732622

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009

the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …

Persistent link: https://www.econbiz.de/10010732623

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …

Persistent link: https://www.econbiz.de/10010753741

Value at risk models in finance

Engle, Robert F.; Manganelli, Simone - European Central Bank - 2001

The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions and to their logical flaws. In the process, we show that the Historical Simulation method and its variants can...

Persistent link: https://www.econbiz.de/10005816286