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Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
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State-dependent exchange rate pass-through behavior
Donayre, Luiggi; Panovska, Irina - In: Journal of international money and finance 64 (2016), pp. 170-195
Persistent link: https://www.econbiz.de/10011668387
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Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
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Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu; McAleer, Michael - 2018
The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …
Persistent link: https://www.econbiz.de/10011794277
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Bayesian Analysis of Realized Matrix-Exponential GARCH Models
Asai, Manabu; McAleer, Michael - 2018
The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …
Persistent link: https://www.econbiz.de/10011819520
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Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Hien, Pham Thu; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10014284447
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Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with …
Persistent link: https://www.econbiz.de/10012433164
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Volatility transmission in global financial markets
Clements, Adam; Hurn, Stan; Volkov, V. V. - In: Journal of empirical finance 32 (2015), pp. 3-18
Persistent link: https://www.econbiz.de/10011556742
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Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets
Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151
Persistent link: https://www.econbiz.de/10011703972
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Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10011906446