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conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a …This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …
Persistent link: https://www.econbiz.de/10010341118
conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign …This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset …
Persistent link: https://www.econbiz.de/10013083308
) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the … Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets …
Persistent link: https://www.econbiz.de/10011556166
We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...
Persistent link: https://www.econbiz.de/10011520881
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...
Persistent link: https://www.econbiz.de/10013459316
allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility …
Persistent link: https://www.econbiz.de/10014220091
allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …
Persistent link: https://www.econbiz.de/10003764299
We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of … multivariate volatility modeling approach — which enjoys estimation consistency and simplicity — to facilitate higher dimensional … spillover testing. Simulations show the reasonable finite sample performance of the proposed econometric strategy in a …
Persistent link: https://www.econbiz.de/10014353911
; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …
Persistent link: https://www.econbiz.de/10002570445
-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … unidirectional short-term (ARCH) spillover effect from BTC to ETH. We also find spillovers from BTC and ETH to USDT, but no influence …
Persistent link: https://www.econbiz.de/10012792439