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A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through …
Persistent link: https://www.econbiz.de/10010263718
. -- Simultaneity ; identifcation ; EGARCH ; DCC …In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the …
Persistent link: https://www.econbiz.de/10003796131
, illuminating scope and functioning of the SCCC model. -- Simultaneity ; Identification ; EGARCH ; CCC …A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through …
Persistent link: https://www.econbiz.de/10003636117
In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the …
Persistent link: https://www.econbiz.de/10005677953
correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …
Persistent link: https://www.econbiz.de/10011296721
Persistent link: https://www.econbiz.de/10003997412
Persistent link: https://www.econbiz.de/10003908252
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...
Persistent link: https://www.econbiz.de/10010298390
We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...
Persistent link: https://www.econbiz.de/10010298391
conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …
Persistent link: https://www.econbiz.de/10012945121