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The reaction of stock market returns to unemployment

Gonzalo, Jesús; Taamouti, Abderrahim - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10011755437

Modeling international financial returns with a multivariate regime switching copula

Chollete, Loran (contributor); Heinen, Andréas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003726991

Asymmetric multivariate normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003651581

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008

Persistent link: https://www.econbiz.de/10003651587

Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007

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....