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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-7

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against … risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances …

Persistent link: https://www.econbiz.de/10012611132

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-9

assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more … than one hedging instrument, multivariate covariances and correlations have to be calculated. As optimal hedge ratios are …

Persistent link: https://www.econbiz.de/10012611137

Stock market volatility response to COVID-19: Evidence from Thailand

In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-9

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations...

Persistent link: https://www.econbiz.de/10014332748

Deterministic effects of volatility on mixed frequency GARCH in Means MIDAS model: Evidence from Turkey

Özsoy, Fehmi; Doğan, Nükhet - In: International Econometric Review (IER) 14 (2022) 1, pp. 1-20

GARCH-M MIDAS model. We formulate this model on stock prices and exchange rates, in which long run volatility is driven by …

Persistent link: https://www.econbiz.de/10014518992

Copula-based vMEM specifications versus alternatives: The case of trading activity

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics 5 (2017) 2, pp. 1-24

interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals …

Persistent link: https://www.econbiz.de/10011755372

Copulas and portfolios in the electric vehicle sector

Stenšin, Andrej; Bloznelis, Daumantas - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-20

distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of …

Persistent link: https://www.econbiz.de/10013201435

Taking into account the rate of convergence in CLT under Risk evaluation on financial markets

Kazaryan, Levon; Kantorovich, Gregory - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-11

This paper examines 'fat tails puzzle' in the financial markets. Ignoring the rate of convergence in Central Limit Theorem (CLT) provides the 'fat tail' uncertainty. In this paper, we provide a review of the empirical results obtained 'fat tails puzzle' using innovative method of Yuri Gabovich...

Persistent link: https://www.econbiz.de/10011988733

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - In: Econometrics 5 (2017) 1, pp. 1-5

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011755368

GARCH Family Models vs EWMA: Which is the best model to forecast volatility of the Moroccan stock exchange market?

Jebari, Ouael El; Hakmaoui, Abdelati - In: Revista de Métodos Cuantitativos para la Economía y … 26 (2018), pp. 237-249

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk management; they have become one of the major topics in financial econometrics and they are principally and continuously used in the pricing of financial assets and the Value at Risk,...

Persistent link: https://www.econbiz.de/10014494424

COVID-19 pandemic and the crude oil market risk: Hedging options with non-energy financial innovations

Salisu, Afees A.; Obiora, Kingsley - In: Financial Innovation 7 (2021) 1, pp. 1-19

This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before … computation of optimal weights and optimal hedging ratios. Results show evidence of hedging effectiveness for the financial … innovations against oil market risks, with higher hedging performance observed during the pandemic. Overall, we show that sectoral …

Persistent link: https://www.econbiz.de/10012602915

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