We test the importance of multivariate information for modelling and forecasting inflation's conditional mean and variance. In the literature, the existence of inflation's conditional heteroskedasticity has been debated for years, as it seemed to appear only in some datasets and for some lag...

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the time-series sensitivity of Australian bank stock returns to market, interest rate and foreign exchange rate risks. Daily Australian bank portfolio...

The purpose of this study is to test predictive performance of Asymmetric Normal Mixture GARCH (NMAGARCH) and other GARCH models based on Kupiec and Christoffersen tests for Turkish equity market. The empirical results show that the NMAGARCH perform better based on %99 CI out-of-sample...

This paper analyzes stock market volatility in thirty nine developed and developing countries over a daily simple starting in January 1990 to October 2002, considering conditional autoregressive heteroskedasticity symmetric and asymmetric models such as GARCH, TGRARCH and Exponential models. We...

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is...

This paper introduces a new class of multivariate volatility models that utilizes high-frequency data.  We discuss the models' dynamics and highlight their differences from multivariate GARCH models.  We also discuss their covariance targeting specification and provide closed-form formulas...

World power and gas markets have a natural relationship with global tradable carbon permits markets, including the U.S. Clean Air Act Amendments and the EU Emissions Trading Scheme, the latter officially launched in January 2005. Electric utilities operate their power plants based in part on the...