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Since when have FOREX markets incorporated EMU into currency pricing? Evidence from four exchange rate series
Wilfling, Bernd - 2001
rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using … members long before any official announcements. (2) At first, the markets did not reckon with the participation of Italy and …
Persistent link: https://www.econbiz.de/10010295594
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Relationship between Czech and European developed stock markets: DCC MV GARCH analysis
Princ, Michael - 2010
The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...
Persistent link: https://www.econbiz.de/10010322302
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
volatility predictor, the results of an application to tactical asset allocation are presented. …
Persistent link: https://www.econbiz.de/10010263760
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...
Persistent link: https://www.econbiz.de/10011583206
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Linear statistical inference for global and local minimum variance portfolios
Frahm, Gabriel - 2007
Traditional portfolio optimization has been often criticized since it does not account for estimation risk. Theoretical … considerations indicate that estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns … there are no expected asset returns which have to be estimated and thus the impact of estimation errors can be substantially …
Persistent link: https://www.econbiz.de/10010298430
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Asymmetric multivariate normal mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008
. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the …
Persistent link: https://www.econbiz.de/10010298390
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus; Mittnik, Stefan - 2008
accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …
Persistent link: https://www.econbiz.de/10010298391
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Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008
Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...
Persistent link: https://www.econbiz.de/10011422185
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10010276212
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10010276254