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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

Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre - 2011

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

Persistent link: https://www.econbiz.de/10010326055

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Asai, Manabu; McAleer, Michael - 2016

, including the diagonal BEKK model of Baba et al. (1985) and Engle and Kroner (1995), VARMA-GARCH model of Ling and McAleer (2003 …

Persistent link: https://www.econbiz.de/10011586680

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

Asai, Manabu; McAleer, Michael - 2016

The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical...

Persistent link: https://www.econbiz.de/10011586686

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

Daily Exchange Rate Behaviour and Hedging of Currency Risk

Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

Persistent link: https://www.econbiz.de/10010324426

The Stochastic Volatility in Mean Model

Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...

Persistent link: https://www.econbiz.de/10010324578

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K. - 1999

applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …

Persistent link: https://www.econbiz.de/10010324702

Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS

Diks, Cees; van der Weide, Roy - 2003

predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …

Persistent link: https://www.econbiz.de/10010324793