Narrow search
Showing 1 - 10 of 32,335
Cover Image
Negative volatility spillovers in the unrestricted ECCC-GARCH model
Conrad, Christian A. (contributor);  … - 2008
allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …
Persistent link: https://www.econbiz.de/10003764299
Cover Image
Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016
We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...
Persistent link: https://www.econbiz.de/10011520881
Cover Image
Networks in Risk Spillovers : A Multivariate GARCH Perspective
Billio, Monica - 2016
spreading risk, and Ireland and Spain are the most susceptible receivers of spillover effects that can be traced back to a …
Persistent link: https://www.econbiz.de/10012997533
Cover Image
Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
Conrad, Christian; Karanasos, Menelaos - 2009
allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility …
Persistent link: https://www.econbiz.de/10014220091
Cover Image
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10011380135
Cover Image
A two-factor model for electricity prices with dynamic volatility
Schlüter, Stephan - 2009
(2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a …
Persistent link: https://www.econbiz.de/10003894769
Cover Image
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
Cover Image
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10013146598
Cover Image
Wide Volatility Spillover Networks
Furman, Yoel - 2014
volatility dynamics. We show that despite the many parameters resulting from this wide cross-section, this spillover … autoregressive (SPAR) realized variance model forecasts accurately and can be used in estimating large volatility spillover networks …. These volatility spillover networks can be visualized and used to explain Granger-causal contagion in a group of assets. We …
Persistent link: https://www.econbiz.de/10013051150
Cover Image
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