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The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...

Persistent link: https://www.econbiz.de/10014434629

Conditional Heteroskedasticity in the Volatility of Asset Returns

Ding, Yashuang (Dexter) - 2021

We propose a new class of conditional heteroskedasticity in the volatility (CH-V) models which allows for time …-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model … of Ding (2021b). CH-V models can be seen as a special case of the stochastic volatility of volatility model. We then …

Persistent link: https://www.econbiz.de/10013214647

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2014

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

Persistent link: https://www.econbiz.de/10010367161

Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2014

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

Persistent link: https://www.econbiz.de/10010375190

Returns in commodities futures markets and financial speculation : a multivariate GARCH approach

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...

Persistent link: https://www.econbiz.de/10009535531

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063

Multivariate return decomposition : theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10011313230

Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

Persistent link: https://www.econbiz.de/10011296721

Modeling volatility persistence and asymmetry with exogenous breaks in the Nigerian stock returns

Kuhe, David A. - In: CBN journal of applied statistics 9 (2018) 1, pp. 167-196

This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study … incorporation of structural breaks while estimating volatility in the Nigerian stock market. This will help to avoid over …-estimation of volatility shocks and restore investor's confidence in the stock market. …

Persistent link: https://www.econbiz.de/10011922754