Narrow search
Showing 1 - 10 of 11,691
Cover Image
Multivariate dynamic Copula models : parameter estimation and forecast evaluation
Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015
This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...
Persistent link: https://www.econbiz.de/10011344180
Cover Image
Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …
Persistent link: https://www.econbiz.de/10003796201
Cover Image
Dynamic factor GARCH : multivariate volatility forecast for a large number of series
Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007
empirical application aiming at comparing estimates and predictions of the volatility of financial asset returns. The Dynamic …
Persistent link: https://www.econbiz.de/10003376231
Cover Image
Matrix inequality constraints for vector (asymmetric power) GARCH/HEAVY models and MEM with spillovers : some new (mixture) formulations
Karanasos, Menelaos; Xu, Yongdeng - 2017
In this paper we review and generalize results on the derivation of tractable non-negativity (necessary and sufficient) conditions for N-dimensional asymmetric power GARCH/HEAVY models and MEM. We show that these non-negativity constraints are translated into simple matrix inequalities, which...
Persistent link: https://www.econbiz.de/10011759653
Cover Image
DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation
Xu, Yongdeng - 2019
This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …
Persistent link: https://www.econbiz.de/10012009351
Cover Image
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
Cover Image
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
Cover Image
Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2008
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...
Persistent link: https://www.econbiz.de/10003966616
Cover Image
Forecasting Exchange Rate Volatility : The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts
Benavides, Guillermo - 2009
This paper shows that combinations of option implied and time series volatility forecasts that are conditional on … that this method works well in practice by applying it to volatility forecasts for the Mexican Peso-US Dollar exchange rate …, where the actual value is taken to be the realized volatility measured using intra-day observations …
Persistent link: https://www.econbiz.de/10012720373
Cover Image
Forecasts with Single-Equation Markov-Switching Model : An Application to the Gross Domestic Product of Latvia
Buss, Ginters - 2010
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...
Persistent link: https://www.econbiz.de/10013147524