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Copula-MGARCH with continuous covariance decomposition

Herwartz, Helmut; Raters, Fabian H. C. - In: Economics letters 133 (2015), pp. 73-76

Persistent link: https://www.econbiz.de/10011431988

Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach

Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

Persistent link: https://www.econbiz.de/10011534717

Islamic equities and COVID-19 pandemic : measuring Islamic stock indices correlation and volatility in period of crisis

Abdullahi, Shafiu Ibrahim - In: Islamic economic studies 29 (2021) 1, pp. 50-66

generalized method of moments (GMM), autoregressive distributed lag (ARDL) and multivariate GARCH (MGARCH) models for analysis of … subgroups are cointegrated except the low COVID-19 subgroup. Based on MGARCH findings, the possibility of volatility …

Persistent link: https://www.econbiz.de/10012666779

Dynamic linkages between gold and equity prices : evidence from Indian financial services and information technology companies

Dey, Shubhasis; Sampath, Aravind - In: Finance research letters 25 (2018), pp. 41-46

Persistent link: https://www.econbiz.de/10012003426

Volatility transmission between US and Latin American stock markets : testing the decoupling hypothesis

Cardona, Laura; Gutiérrez, Marcela; Agudelo, Diego A. - In: Research in international business and finance 39 (2017), pp. 115-127

Persistent link: https://www.econbiz.de/10011876451

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Comparing multivariate volatility forecasts by direct and indirect approaches

Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57

Persistent link: https://www.econbiz.de/10011799128

Correlations and volatility spillover from China to Asian and Latin American Countries : identifying diversification and hedging opportunities

Yadav, Miklesh Prasad; Sharma, Sudhi; Aggarwal, Vaibhav; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

Heteroskedasticity (MGARCH) model with BEKK, diagonal, Constant Conditional Correlation (CCC), and finally, Dynamic Conditional …

Persistent link: https://www.econbiz.de/10014500295