and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co … independence over time should be taken with caution due to the presence of GARCH effects. In addition, extreme co-movements are …

European EMU countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a …

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with …

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …

Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH … and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the …