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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 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
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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 paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in 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...
Persistent link: https://www.econbiz.de/10014281494
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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020
in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated …We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US … dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to …
Persistent link: https://www.econbiz.de/10012294928
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Multivariate GARCH Models
Silvennoinen, Annastiina - 2008
This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example...
Persistent link: https://www.econbiz.de/10012723997
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Multivariate Volatility Estimation with High Frequency Data Using Fourier Method
Mancino, Maria Elvira - 2013
Availability of high frequency data has improved the capability of computing volatility in an efficient way …. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed … multivariate volatility, with particular focus on using high frequency data. Exploiting the fact that the method allows to compute …
Persistent link: https://www.econbiz.de/10013084255
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
volatility of individual stock returns and exchange rate returns. …
Persistent link: https://www.econbiz.de/10011332948
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Score driven exponentially weighted moving average and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2014
dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10010384110
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Dynamic Conditional Correlation : On Properties and Estimation
Aielli, Gian Piero - 2011
We address some issues that arise with the Dynamic Conditional Correlation (DCC) model. We prove that the DCC large system estimator (DCC estimator) can be inconsistent, and that the traditional interpretation of the DCC correlation parameters can lead to misleading conclusions. We then suggest...
Persistent link: https://www.econbiz.de/10013134164
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Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
Aielli, Gian Piero - 2011
It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to...
Persistent link: https://www.econbiz.de/10013125314
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Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity
Abramova, Ekaterina; Bunn, Derek W. - 2019
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...
Persistent link: https://www.econbiz.de/10014107616