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Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
Caporin, M.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2011
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has … begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …
Persistent link: https://www.econbiz.de/10009132175
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Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has … begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …
Persistent link: https://www.econbiz.de/10009141351
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Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation
McAleer, Michael; Caporin, Massimiliano - Institute of Economic Research, Kyoto University - 2011
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has … begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …
Persistent link: https://www.econbiz.de/10009141597
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Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 172-185
Several Multivariate GARCH (MGARCH) models have been proposed, and recently such MGARCH specifications have been … examined in terms of their out-of-sample forecasting performance. An empirical comparison of alternative MGARCH models is …
Persistent link: https://www.econbiz.de/10011056493
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Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS
Mokhtar, Maznita; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
led by the more established conventional REITs. The DCC-MGARCH model is applied to study the volatilities and correlations …
Persistent link: https://www.econbiz.de/10011109252
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Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis
Dimitriou, Dimitrios; Mpitsios, Petros; Simos, Theodore - Volkswirtschaftliche Fakultät, … - 2011
as a benchmark market. We employ a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model …
Persistent link: https://www.econbiz.de/10011111100
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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2013
See the publication in the <I>North American Journal of Economics and Finance</I> (2013). Vol. 26(SI), 519-534.<P> This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional...</p></i>
Persistent link: https://www.econbiz.de/10011256725
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Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
Gil, Uribe; Mario, Jorge - In: Lecturas de Economia (2011)
Resumen: Se presenta una metodología reciente para la detección del contagio financiero basada en coeficientes de dependencia asintótica. Este enfoque, sin alejarse de las condiciones teóricas del problema, logra sortear las críticas estadísticas a las que frecuentemente están expuestas...
Persistent link: https://www.econbiz.de/10010763766