Similar Search Results - EconBiz

Testing the CAPM for the Brazilian stock market using multivariate GARCH between 1995 and 2012

Godeiro, Lucas Lúcio; Silva, Cesar R. da; Rodrigues, … - In: Journal of finance and investment analysis 2 (2013) 2, pp. 15-39

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas were estimated and conditional betas...

Persistent link: https://www.econbiz.de/10009746028

Bayesian analysis of latent threshold dynamic models

Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164

Persistent link: https://www.econbiz.de/10009754013

Orthogonal transformation of coordinates in copula M-GARCH models - Bayseian analysis for WIG20 spot and futures returns

Pipień, Mateusz - 2013

Persistent link: https://www.econbiz.de/10009754037

Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis

Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International review of financial analysis 24 (2012), pp. 57-65

Persistent link: https://www.econbiz.de/10009688173

Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?

Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181

Persistent link: https://www.econbiz.de/10009688795

Dynamics of the co-movement between stock and maritime markets

Erdogan, Oral; Tata, Kenan; Karahasan, B. Can; Sengoz, … - In: International review of economics & finance : IREF 25 (2013), pp. 282-290

Persistent link: https://www.econbiz.de/10009693298

Bootstrapping realized multivariate volatility measures

Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65

Persistent link: https://www.econbiz.de/10009702319

Exchange rates and oil prices : a multivariate stochastic volatility analysis

Ding, Liang; Vo, Minh T. - In: The quarterly review of economics and finance : journal … 52 (2012) 1, pp. 15-37

Persistent link: https://www.econbiz.de/10009665118

Robust ranking of multivariate GARCH models by problem dimension

Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.

Persistent link: https://www.econbiz.de/10009619553

Multivariate heavy-tailed models for value-at-risk estimation

Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10009624462

A service of the