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A Practical Multivariate Approach to Testing Volatility Spillover
Leong, Soon; Urga, Giovanni - 2023
We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of … multivariate volatility modeling approach — which enjoys estimation consistency and simplicity — to facilitate higher dimensional …
Persistent link: https://www.econbiz.de/10014353911
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A practical multivariate approach to testing volatility spillover
Leong, Soon Heng; Urga, Giovanni - In: Journal of economic dynamics & control 153 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014479289
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L1 regularization for high-dimensional multivariate GARCH models
Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29
tuning parameters. In addition, we apply the proposed framework to analyze volatility spillover and portfolio optimization …
Persistent link: https://www.econbiz.de/10014497339
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A practical multivariate approach to testing volatility spillover
Leong, Soon Heng; Urga, Giovanni - 2023
Persistent link: https://www.econbiz.de/10014371827
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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
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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
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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An empirical study of Islamic equity as a better alternative during crisis using multivariate GARCH DCC
Rizvi, Syed Aun R.; Arshad, Shaista - In: Islamic economic studies 22 (2014) 1, pp. 159-184
Persistent link: https://www.econbiz.de/10010441295
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723