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Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
Hammoudeh, Shawkat M. - 2009
This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio...
Persistent link: https://www.econbiz.de/10013155236
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
an initial shock and on history, minus the baseline expectation that conditions on history. This makes the process … endogenous, but the choice of the baseline shock within the data set makes a difference. We explore the impact of three different … government allowed the investment bank Lehman Brothers to go bankrupt (GFC2). The third shock is 9 May 2010, which marked the …
Persistent link: https://www.econbiz.de/10011301206
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Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …
Persistent link: https://www.econbiz.de/10011556166
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Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
Satō, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008688576
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Identifying shocks in regionally integrated East Asian economies wih structural VaR and block exogeneity
Satō, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003987291
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Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
Satō, Kiyotaka; Zhang, Zhaoyong; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987321
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A simple test for causality in volatility
Chang, Chia-Lin; McAleer, Michael - 2016
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...
Persistent link: https://www.econbiz.de/10011556246
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Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
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Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
Caporin, Massimiliano - 2009
DAMGARCH extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution....
Persistent link: https://www.econbiz.de/10012720446
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A simple test for causality in volatility
Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...
Persistent link: https://www.econbiz.de/10011654183