The unique characteristics of Chinese stock markets give rise to the difficulty of assuming innovation distributions and the specification form of the volatility process when modelling volatility with the parametric GARCH family models. This paper examines the Chinese stock market volatility and...

In this article we use partial correlations to derive bidirectional connections between major firms listed in the Moscow Stock Exchange. We obtain coefficients of partial correlation from the correlation estimates of the Constant Conditional Correlation GARCH (CCC-GARCH) and the consistent...

This paper investigates the empirical properties of oil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this...

Relatively little is known about the empirical performance of infinite-activity Levy jump models, especially with non-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse Gaussian jumps with affine and non-affine...

In this study, we investigate the relationship between stock market price and crude oil market price using Multivariate GARCH type model. We use daily frequency data of stock price indices S&P500 and NASDAQ composite and the prices of one major Crude Oil products, defined as the US price of West...

Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, we model the value-at-risk using a set of univariate GARCH-type models. Our results...

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...