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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the …
Persistent link: https://www.econbiz.de/10009291890
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …
Persistent link: https://www.econbiz.de/10010732622
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Department of Economics and Finance, College of … - 2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …
Persistent link: https://www.econbiz.de/10008764018
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …
Persistent link: https://www.econbiz.de/10008764127
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The impact of German macroeconomic data announcements on the Czech financial market
Moravcová, Michala - 2015
generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory …
Persistent link: https://www.econbiz.de/10011340623
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Improving Value-at-Risk estimation from the normal EGARCH model
Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary Economics 11 (2017) 1, pp. 91-106
-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the … distribution instead of GARCH improves the performance of the bias-correction method in forecasting the VaR for almost all …
Persistent link: https://www.econbiz.de/10011659907
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Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18
: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …
Persistent link: https://www.econbiz.de/10011988707
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Symmetric and Asymmetric Volatility Clustering Via GARCH Family Models: An Evidence from Religion Dominant Countries
Khan, Muhammad Salman; Khan, Kanwal Iqbal; Mahmood, Shahid - In: Paradigms 13 (2019) 1, pp. 20-25
managers. This study is conducted to analyze the volatility clustering and asymmetry occurrence by employing different GARCH … estimated the analytical competence of GARCH models and found that GJR-GARCH and EGARCH executed better results than GARCH (p, q …) in RDCs stock markets. It also shows that GJR-GARCH and EGAECH explain the asymmetric behavior along with an accurate …
Persistent link: https://www.econbiz.de/10012027052
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An Event Study of Chinese Tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …
Persistent link: https://www.econbiz.de/10011819518
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Islamic and conventional equity index co-movement and volatility transmission: Evidence from Pakistan
Jebran, Khalil; Chen, Shihua; Tauni, Muhammad Zubair - In: Future Business Journal 3 (2017) 2, pp. 98-106
run association is explored using VECM model. The volatility spillover dynamics is examined using the GARCH and EGARCH …
Persistent link: https://www.econbiz.de/10011937840