Similar Search Results

Analysis of high dimensional multivariate stochastic volatility models

Chib, Siddhartha; Nardari, Federico; Shephard, Neil - 2006

parameters are fit and studied. The performance of our model, in relation to various multivariate GARCH models, is also evaluated …

Persistent link: https://www.econbiz.de/10009441545

Analysis of High Dimensional Multivariate Stochastic Volatility Models

Shephard, Neil; Chib, Siddhartha - Department of Economics, Oxford University - 1999

This paper is concerned with the fitting and comparison of high dimensional multivariate time series models with time varying correlations. The models considered here combine features of the classical factor model with those of the univariate stochastic volatility model. Specifically, a set of...

Persistent link: https://www.econbiz.de/10010605134

Modeling risk contagion in the Italian zonal electricity market

Grossi, Luigi; Ahelegbey, Daniel Felix; Fianu, Emmanuel … - 2020

Persistent link: https://www.econbiz.de/10012372990

A note on the determinants of NFTs returns

Panagiōtidēs, Theodōros; Papapanagiotou, Georgios - 2024

Persistent link: https://www.econbiz.de/10014529017

Bayesian stochastic volatility predictability of cryptocurrencies with the algorithm of Metropolis Hasting

Hachicha, Fatma; Ghabri, Yosra; Guesmi, Khaled; … - In: Revue Gestion 2000 : management & prospective 39 (2022) 6, pp. 163-186

Persistent link: https://www.econbiz.de/10014306107

Modeling the price volatility of cassava chips in Thailand : evidence from Bayesian GARCH-X estimates

Jittima Singvejsakul; Chaovanapoonphol, Yaovarate; … - In: Economies : open access journal 9 (2021) 3, pp. 1-10

volatility in the price of cassava chips were calculated using Bayesian GARCH-X. The results indicate that the increase in X1, X2 …

Persistent link: https://www.econbiz.de/10012631424

The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market

Worthington, Andrew C.; Higgs, Helen - 2004

conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …

Persistent link: https://www.econbiz.de/10009437450

Political news and stock market reactions: Evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International Journal of Management and Economics 55 (2019) 2, pp. 83-98

nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …

Persistent link: https://www.econbiz.de/10015192170

Impact of COVID-19, political, and financial events on the performance of commercial banking sector

Ghouse, Ghulam; Bhatti, Muhammad Ishaq; Shahid, … - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-18

the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We …

Persistent link: https://www.econbiz.de/10014332387

COVID-19 pandemic & financial market volatility: Evidence from GARCH models

Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-20

-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study …

Persistent link: https://www.econbiz.de/10014332825