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Change-Point Detection in the Covariance Structure of Multivariate Volatility Models
Barassi, Marco R. - 2017
We propose semi-parametric CUSUM tests to detect a change point in the covariance structure of non-linear multivariate models with dynamically evolving volatilities and correlations. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the...
Persistent link: https://www.econbiz.de/10012945121
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Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling
Borovkova, Svetlana - 2012
allowing the conditional variance of a particular market to depend on past volatility shocks in other markets. The inter …. Extending the model to incorporate leverage effects leads to further improvement in the volatility fit. We compare weight …
Persistent link: https://www.econbiz.de/10013097898
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …
Persistent link: https://www.econbiz.de/10013348418
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Forecasting German Car Sales Using Google Data and Multivariate Models
Fantazzini, Dean - 2015
Long-term forecasts are of key importance for the car industry due to the lengthy period of time required for the development and production processes. With this in mind, this paper proposes new multivariate models to forecast monthly car sales data using economic variables and Google online...
Persistent link: https://www.econbiz.de/10013015773
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …
Persistent link: https://www.econbiz.de/10012910119
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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2019
findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …
Persistent link: https://www.econbiz.de/10012904964
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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2014
findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …
Persistent link: https://www.econbiz.de/10013056852
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Hedging performance and multiscale relationships in the German electricity spot and futures markets
Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62
We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...
Persistent link: https://www.econbiz.de/10011555959