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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach

Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - 2019

Persistent link: https://www.econbiz.de/10012154493

Modelling, estimation and visualization of multivariate dependence for risk management

Hsing, Tailen (contributor); … - 2004

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our …

Persistent link: https://www.econbiz.de/10002638723

Modelling, estimation and visualization of multivariate dependence for high-frequency data

Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010

Persistent link: https://www.econbiz.de/10003964488

Synchronization of Markov chains in multivariate regime-switching models

Vial, Raphael - 2015

Persistent link: https://www.econbiz.de/10010511447

Volatility spillovers among the cryptocurrency time series

Mighri, Zouheir Ahmed; Al Saggaf, Majid Ibrahim - In: International journal of economics and financial issues … 9 (2019) 3, pp. 81-90

Persistent link: https://www.econbiz.de/10012149515

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10011691256

Dependence estimation and visualization in multivariate extremes with applications to financial data

Hsing, Tailen (contributor); … - 2003

nonparametric estimation procedure. The new dependence function is compared with existing measures including the spectral measure … and estimate the extreme dependence in the data. -- Extreme dependence function ; nonparametric estimation ; financial …

Persistent link: https://www.econbiz.de/10002638718

Multivariate models of commodity futures markets : a dynamic copula approach

Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057

Persistent link: https://www.econbiz.de/10014329023

On the modelling and forecasting multivariate realized volatility : Generalized Heterogeneous Autoregressive (GHAR) model

Baruník, Jozef; Čech, František - 2014

We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....

Persistent link: https://www.econbiz.de/10010429957

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