Showing 1 - 10 of 64
documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime … modèles GARCH bivarié en langage Gauss ou avec changement de régime. Nous signalons les limites de ces outils pour …
Persistent link: https://www.econbiz.de/10005052205
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
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
-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
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
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
We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...
Persistent link: https://www.econbiz.de/10004976982
Germany. Using a GARCH model, I evaluate the effect of wind electricity generation on the level and the volatility of the …
Persistent link: https://www.econbiz.de/10011100128
-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on … choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH. …
Persistent link: https://www.econbiz.de/10011100130
Many analysts believe that natural gas will have an increasingly important role in the next few decades. Accordingly, understanding the underpinnings of natural gas prices is likely to be critical, both to policy analysts and to market participants. At present, it is common to assume that these...
Persistent link: https://www.econbiz.de/10011115901