Similar Search Results

Optimal hedge ratios in the presence of common jumps

Chan, Wing Hong - In: The journal of futures markets 30 (2010) 8, pp. 801-807

Persistent link: https://www.econbiz.de/10003985103

Conditional correlated jump dynamics in foreign exchange

Chan, Wing Hong - In: Economics letters 83 (2004) 1, pp. 23-28

Persistent link: https://www.econbiz.de/10001967528

Chan, Wing Hong - In: Empirical economics : a journal of the Institute for … 28 (2003) 4, pp. 669-685

Persistent link: https://www.econbiz.de/10001798156

Identifying the common jump component in foreign exchange returns

Chan, Wing Hong - 2004

Persistent link: https://www.econbiz.de/10002415238

A new look at copper markets : a regime-switching jump model

Chan, Wing Hong (contributor); Young, Denise (contributor) - 2009

Persistent link: https://www.econbiz.de/10003816536

Jumping hedges : an examination of movements in copper spot and futures markets

Chan, Wing Hong; Young, Denise - In: The journal of futures markets 26 (2006) 2, pp. 169-188

Persistent link: https://www.econbiz.de/10003303876

Modeling covariance breakdowns in multivariate GARCH

Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011705024

Volatility dynamics under duration-dependent mixing

Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372

Persistent link: https://www.econbiz.de/10001558275

Real time detection of structural breaks in GARCH models

He, Zhongfang; Maheu, John M. - 2009

A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...

Persistent link: https://www.econbiz.de/10003933353

Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models

Burda, Martin; Maheu, John M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 345-372

Persistent link: https://www.econbiz.de/10009787988