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A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk
Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50
Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and...
Persistent link: https://www.econbiz.de/10009769897
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022
Persistent link: https://www.econbiz.de/10013194599
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Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
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Econometric modeling of regional electricity spot prices in the Australian market
Smith, Michael S.; Shively, Thomas S. - In: Energy economics 74 (2018), pp. 886-903
Persistent link: https://www.econbiz.de/10011972998
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A flexible state-space model with application to stochastic volatility
Gouriéroux, Christian; Lu, Yang - 2016
Persistent link: https://www.econbiz.de/10012196330
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Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265
Persistent link: https://www.econbiz.de/10011618857
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Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
Burda, Martin; Belisle, Louis - 2019
Persistent link: https://www.econbiz.de/10011999786
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Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro; Yamakami, Tomohisa - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
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Constructing copulas using corrected hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro; Yamakami, Tomohisa - 2023
Persistent link: https://www.econbiz.de/10014266209
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020
Persistent link: https://www.econbiz.de/10012232995