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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

Stock market networks: The dynamic conditional correlation approach

Lyócsa, Štefan; Výrost, Tomáš; Baumöhl, Eduard - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 16, pp. 4147-4158

We demonstrate the economic relevance of minimum spanning trees (MSTs) constructed from dynamic conditional correlations (DCC) for a sample of S&P 100 constituents. An empirical comparison of MST properties shows that using the standard approach of rolling (or sliding-window) correlations yields...

Persistent link: https://www.econbiz.de/10011062784

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

The impact of GARCH on asymmetric unit root tests

Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 745-752

unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is …–Fuller unit root test when applied to series exhibiting GARCH. Importantly, it is found that the use of consistent … the GARCH model. The relevance of the simulation analysis conducted is supported by GARCH modelling of the term structure …

Persistent link: https://www.econbiz.de/10010873045

Internet information arrival and volatility of SME PRICE INDEX

Zhang, Yongjie; Feng, Lina; Jin, Xi; Shen, Dehua; … - In: Physica A: Statistical Mechanics and its Applications 399 (2014) C, pp. 70-74

proxy is incorporated into the conditional variance equation of the GARCH model. Some tentative explanations are also given … to expound the non-disappeared GARCH effects. …

Persistent link: https://www.econbiz.de/10010873943

Nonlinear GARCH model and 1/f noise

Kononovicius, A.; Ruseckas, J. - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 74-81

interest of the researchers. In this contribution we consider the well known GARCH(1,1) process and its nonlinear modifications … GARCH processes in consideration. We find the obtained equations to be similar to a general class of stochastic differential … equations known to reproduce power law statistics. We show that linear GARCH(1,1) process has power law distribution, but its …

Persistent link: https://www.econbiz.de/10011209648

Financial time series modeling using the Hurst exponent

Tzouras, Spilios; Anagnostopoulos, Christoforos; McCoy, Emma - In: Physica A: Statistical Mechanics and its Applications 425 (2015) C, pp. 50-68

This study aims to enhance the understanding of logarithmic asset returns. In particular, more emphasis is given to the long memory property of financial returns, a well documented stylized fact. However, in the presence of structural breaks other studies suggest that statistical tools such as...

Persistent link: https://www.econbiz.de/10011209656