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Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37
this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …
Persistent link: https://www.econbiz.de/10014281494
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Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study
Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90
Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …
Persistent link: https://www.econbiz.de/10012695346
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Covariance Forecasting in Equity Markets
Symitsi, Efthymia - 2018
We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...
Persistent link: https://www.econbiz.de/10012915984
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …
Persistent link: https://www.econbiz.de/10013459316
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The contribution of realized covariance models to the economic value of volatility timing
Bauwens, Luc; Xu, Yongdeng - 2023
allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …
Persistent link: https://www.econbiz.de/10014434629
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Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study
Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592
The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...
Persistent link: https://www.econbiz.de/10012505328
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Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016
the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …
Persistent link: https://www.econbiz.de/10011520881
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc; Xu, Yongdeng - In: International journal of forecasting 39 (2023) 2, pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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A multivariate Kernel approach to forecasting the variance covariance of stock market returns
Becker, Ralf; Clements, Adam; O'Neill, Rob - In: Econometrics : open access journal 6 (2018) 1, pp. 1-27
This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...
Persistent link: https://www.econbiz.de/10011823257
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to …
Persistent link: https://www.econbiz.de/10010461231