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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
different GARCH models. …
Persistent link: https://www.econbiz.de/10005246267
principal index of the London Stock Exchange supports our model when compared to other frequently used GARCH-type models, which …
Persistent link: https://www.econbiz.de/10005246269
GARCH (1,1) model. As a result, the GARCH estimate tends to have too small a standard error relative to the true one when … the ARCH parameter is small, even when sample size becomes very large. In combination with an upward bias in the GARCH …
Persistent link: https://www.econbiz.de/10005246282
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one … GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric …
Persistent link: https://www.econbiz.de/10005015271
GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such …
Persistent link: https://www.econbiz.de/10005346022