Showing 1 - 10 of 19,506
Persistent link: https://www.econbiz.de/10003475184
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...
Persistent link: https://www.econbiz.de/10013149486
We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...
Persistent link: https://www.econbiz.de/10012894079
Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...
Persistent link: https://www.econbiz.de/10012979327
algorithm are developped. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we …
Persistent link: https://www.econbiz.de/10013154051
algorithm are developed. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we identify …
Persistent link: https://www.econbiz.de/10013155955
In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev...
Persistent link: https://www.econbiz.de/10003576679
Persistent link: https://www.econbiz.de/10001597889
Persistent link: https://www.econbiz.de/10001973380
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...
Persistent link: https://www.econbiz.de/10003966616