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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
volatility in the price of cassava chips were calculated using Bayesian GARCH-X. The results indicate that the increase in X1, X2 …
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The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest. In addition, time-varying effects on the transmission...
Persistent link: https://www.econbiz.de/10012005795
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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
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. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …
Persistent link: https://www.econbiz.de/10010327303