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Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10011906446
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The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading : toward theoretical progress
Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies : open access journal 7 (2019) 3/71, pp. 1-17
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....
Persistent link: https://www.econbiz.de/10012029331
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Chapter 20. Term Structure of Uncertainty in the Macroeconomy
Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
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Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Hien, Pham Thu; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10014284447
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Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with …
Persistent link: https://www.econbiz.de/10012433164
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Asymptotic Theory for Multivariate GARCH Processes
Comte, F.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001
We provide in this paper asymptotic theory for the multivariate GARCH (p,q) process. Strong consistency of the quasi … by Boussama [9] concerning the existence of a stationary and ergodic solution to the multivariate GARCH (p,q) process. We …
Persistent link: https://www.econbiz.de/10005087376
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Analysis of dependencies in low frequency financial data sets
Ardia, David - Volkswirtschaftliche Fakultät, … - 2003
independence over time should be taken with caution due to the presence of GARCH effects. In addition, extreme co-movements are …
Persistent link: https://www.econbiz.de/10005837546
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Measuring the Correlation of Shocks Between the UK and the Core of Europe
Hall, S.G.; Yhap, B. - In: Journal for Economic Forecasting 5 (2008) 1, pp. 17-26
European EMU countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a …
Persistent link: https://www.econbiz.de/10005272653
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G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models
S»bastien Laurent; Peters, Jean-Philippe - Society for Computational Economics - SCE - 2001
univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of …
Persistent link: https://www.econbiz.de/10005132877
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Modeling Nordic Stock Returns with Asymmetric GARCH models
Hagerud, Gustaf E. - Economics Institute for Research (SIR), … - 1997
This paper investigates the presence of asymmetric GARCH effects in a number of equity return series, and compare the … modeling performance of seven different conditional variance models, within the parametric GARCH class of models. The data … conditional variance. In the paper I also introduce three new procedures for asymmetry testing. The proposed LM tests, which are …
Persistent link: https://www.econbiz.de/10005649300