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variants of the widely used GARCH family of second order persistence models that control for these effects, and compare the …
Persistent link: https://www.econbiz.de/10011228198
ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning …
Persistent link: https://www.econbiz.de/10010837928
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010608465
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10010610474
In this paper, we study the functional central limit theorem for ARMA–GARCH processes. We prove that, under the finite … second moment assumption, the stationary ARMA–GARCH process is geometricallyL2-NED and that the functional central limit …
Persistent link: https://www.econbiz.de/10010729477
The class of mixed normal conditional heteroskedastic (MixN-GARCH) models, which couples a mixed normal distributional … structure with GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as … well as excellent out-of-sample forecasting performance, for financial asset returns. In this paper, we generalize the MixN-GARCH …
Persistent link: https://www.econbiz.de/10010730246
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732596
conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …
Persistent link: https://www.econbiz.de/10010732607
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732623