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Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model

Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007

In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Teräsvirta (2005) by including...

Persistent link: https://www.econbiz.de/10005056490

Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations

Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...

Persistent link: https://www.econbiz.de/10005649338

Automated financial multi-path GETS modelling

Sucarrat, Genaro; Escribano, Alvaro - Departamento de Economía, Universidad Carlos III de Madrid - 2009

General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of multi-path GETS specification search. However, several scholars have argued that the estimation complexity associated with financial models constitutes an obstacle to multi-path...

Persistent link: https://www.econbiz.de/10008543188

Volatility Spillovers, Interdependence and Comovements : A Markov Switching Approach

Gallo, Giampiero M. - 2009

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate … restrictions and hypotheses can be tested to stress the role of one market relative to another (spillover, interdependence … the long run with a spillover from Hong Kong to Korea and Thailand, interdependence with Malaysia and comovement with …

Persistent link: https://www.econbiz.de/10013160209

Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis : an MEM approach

Xu, Yongdeng; Taylor, Nicholas; Lu, Wenna - 2018

Even though volatility spillover effects in global equity markets have been documented extensively, the transmission of … illiquidity. We empirically study the illiquidity and volatility spillover effects in eight developed equity markets during and … and illiquidity. Most markets show an increase in volatility and illiquidity spillover effects during the crisis …

Persistent link: https://www.econbiz.de/10011886097

Modeling Volatility Spillovers between the Variabilities of US Inflation and Output : The UECCC GARCH Model

Conrad, Christian - 2008

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...

Persistent link: https://www.econbiz.de/10012723007

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262

Persistent link: https://www.econbiz.de/10011774739

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

Persistent link: https://www.econbiz.de/10011823323

Volatility spillovers and heavy tails : a large t-Vector AutoRegressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - 2017

Persistent link: https://www.econbiz.de/10011799030

The effects of dollar/sterling exchange rate volatility of futures markets for coffee and cocoa

Jumah, Adusei; Kunst, Robert M. - 1999

the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are … ; volatility ; forecasting …

Persistent link: https://www.econbiz.de/10009712332