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Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach
SULEIMANN, Ryan - EconWPA - 2003
relatively time varying correlations with the other indexes and we find a strong GARCH effect in all of the examined series. …
Persistent link: https://www.econbiz.de/10005124892
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The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach
SULEIMANN, Ryan - EconWPA - 2003
This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, American and French New Technology stock markets have been...
Persistent link: https://www.econbiz.de/10005556399
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New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach
SULEIMANN, Ryan - EconWPA - 2003
NASDAQ- 100 is a major origin for the shocks that the IT.CAC and the NEMAX undergo.We construct a VAR model with GARCH errors …
Persistent link: https://www.econbiz.de/10005119158
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Selection criteria in regime switching conditional volatility models
Chuffart, Thomas - In: Econometrics 3 (2015) 2, pp. 289-316
Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011755282
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Right on target, or is it? The role of distributional shape in variance targeting
Anatolyev, Stanislav A.; Khrapov, Stanislav - In: Econometrics 3 (2015) 3, pp. 610-632
Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …
Persistent link: https://www.econbiz.de/10011755296
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Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
Hillebrand, Eric - EconWPA - 2003
. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …
Persistent link: https://www.econbiz.de/10005119104
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Copula-based vMEM specifications versus alternatives: The case of trading activity
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics 5 (2017) 2, pp. 1-24
We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...
Persistent link: https://www.econbiz.de/10011755372
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One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -
Kaiser, Thomas - EconWPA - 1996
factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …
Persistent link: https://www.econbiz.de/10005407963
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Maximum likelihood estimation for the fractional Vasicek model
Tanaka, Katsuto; Xiao, Weilin; Yu, Jun - In: Econometrics 8 (2020) 3, pp. 1-28
This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range...
Persistent link: https://www.econbiz.de/10012696295
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Unit root tests: The role of the univariate models implied by multivariate time series
Cappuccio, Nunzio; Lubian, Diego - In: Econometrics 4 (2016) 2, pp. 1-11
In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...
Persistent link: https://www.econbiz.de/10011755326