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Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572

several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH … model for analyzing the comovement of indexes in German equity markets. The model is implemented with an ARMA-GARCH model … skewed Student's t copula ARMA(1,1)-GARCH(1,1) model with Lévy fractional stable noise is superior to alternative models …

Persistent link: https://www.econbiz.de/10005046500

VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

McAleer, Michael; Hakim, Hakim, A. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillovers...

Persistent link: https://www.econbiz.de/10010731676

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 …

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

Is there a Friday the 13th Effect in Emerging Asian Stock Markets?

Auer, Benjamin R.; Rottmann, Horst - 2013

increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this …

Persistent link: https://www.econbiz.de/10010323003

Jump Processes in Natural Gas Markets

Mason, Charles F.; Wilmot, Neil - 2014

Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...

Persistent link: https://www.econbiz.de/10010333409

Market Risk Management in a Post-Basel II Regulatory Environment

Uroševic, Branko; Drenovak, Mikica; Rankovic, Vladimir; … - 2016

We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...

Persistent link: https://www.econbiz.de/10011615848

Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models

Caporale, Guglielmo Maria; Zekokh, Timur - 2018

cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …

Persistent link: https://www.econbiz.de/10011931917

Smooth-Transition GARCH Models

González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2

intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …

Persistent link: https://www.econbiz.de/10014620812

A Markov-Chain Sampling Algorithm for GARCH Models

Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2

This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998 …). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior … distribution. The samples obtained by this algorithm are used for Bayesian analysis of the GARCH model. As numerical examples …

Persistent link: https://www.econbiz.de/10014620814

Long memory with Markov-Switching GARCH

Krämer, Walter - 2008

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one. …

Persistent link: https://www.econbiz.de/10010264309