Estimation of large financial volatility models is plagued by the curse of dimensionality: As the dimension grows, joint estimation of the parameters becomes infeasible in practice. This problem is compounded if covariates or conditioning variables (``X") are added to each volatility equation....

Crude oil intra-day return curves collected from the commodity futures market often appear to be serially uncorrelated and long-range dependent. Existing functional GARCH models, while able to accommodate short range conditional heteroscedasticity, are not designed to capture long-range...

Crude oil intra-day return curves collected from the commodity futures market often appear to be serially uncorrelated and long-range dependent. Existing functional GARCH models, while able to accommodate short range conditional heteroscedasticity, are not designed to capture long-range...

Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for causality- the DCC-MGARCH Hong test. We show that the critical values of the...

The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical...

Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood and quasi-maximum likelihood estimators may be compromised. We derive considerably weaker conditions that can be used...

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

The OGARCH specification is the leading model for a class of multivariate GARCH (MGARCH)specifications that are based on linear combinations of univariate GARCH specifications. Most MGARCH models in this class adopt a spectral decomposition of the covariance matrix, allowing for...

In this paper an alternative approach to modelling and forecasting single asset returns volatility is presented. A new, bivariate, flexible framework, which may be considered as a development of single-equation ARCH-type models, is proposed. This approach focuses on joint distribution of returns...

The financial econometrics literature includes several Multivariate GARCH models where the model parameter matrices depend on a clustering of financial assets. Those classes might be defined a priori or data-driven. When the latter approach is followed, one method for deriving asset groups is...