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~isPartOf:"Applied financial economics"
~isPartOf:"Discussion paper / Tinbergen Institute"
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ECONIS (ZBW)
205
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1
Bootstrapping
GARCH
models under dependent innovations
Beutner, Eric
;
Schaumburg, Julia
;
Spanjers, Barend
-
2024
This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for
GARCH
models under …
Persistent link: https://www.econbiz.de/10014457811
Saved in:
2
Pooling Dynamic Conditional Correlation models
Os, Bram van
;
Dijk, Dick van
-
2021
The Dynamic Conditional Correlation (DCC) model by Engle (2002) has become an extremely popular tool for modeling the time-varying dependence of asset returns. However, applications to large cross-sections have been found to be problematic, due to the curse of dimensionality. We propose a novel...
Persistent link: https://www.econbiz.de/10012650187
Saved in:
3
Common and idiosyncratic conditional volatility factors : theory and empirical evidence
Blasques, Francisco
;
D'Innocenzo, Enzo
;
Koopman, Siem Jan
-
2021
-
This version: June 21, 2021
We propose a multiplicative dynamic factor structure for the conditional modelling of the variances of an N-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework is based on an observation-driven time series model...
Persistent link: https://www.econbiz.de/10012591559
Saved in:
4
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, Paolo
;
Koopman, Siem Jan
;
Schaumburg, Julia
-
2021
We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...
Persistent link: https://www.econbiz.de/10012591572
Saved in:
5
An event study of Chinese tourists to Taiwan
Chang, Chia-Lin
;
Hsu, Shu-Han
;
McAleer, Michael
-
2018
, namely,
GARCH
(1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …
Persistent link: https://www.econbiz.de/10011794257
Saved in:
6
Bayesian analysis of realized matrix-exponential
GARCH
models
Asai, Manabu
;
McAleer, Michael
-
2018
The paper develops a new realized matrix-exponential
GARCH
(MEGARCH) model, which uses the information of returns and … three US financial assets, we compare the realized MEGARCH models with existing multivariate
GARCH
class models. The …
Persistent link: https://www.econbiz.de/10011794277
Saved in:
7
Accelerating
GARCH
and score-driven models : optimality, estimation and forecasting
Blasques, Francisco F.
;
Gorgi, Paolo
;
Koopman, Siem Jan S.J.
-
2017
We first consider an extension of the generalized autoregressive conditional heteroskedasticity (
GARCH
) model that … squared-return in the
GARCH
model is time- varying with an updating function similar to
GARCH
but with the squared … empirical relevance of the accelerated
GARCH
updating is illustrated by forecasting daily volatility in return series of all …
Persistent link: https://www.econbiz.de/10011688512
Saved in:
8
A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco
;
Nientker, Marc
-
2017
This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....
Persistent link: https://www.econbiz.de/10011699508
Saved in:
9
Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton
;
Asai, Manabu
;
McAleer, Michael
-
2016
In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...
Persistent link: https://www.econbiz.de/10011483824
Saved in:
10
Realized Wishart-
GARCH
: a score-driven multi-Asset volatility model
Hansen, Peter Reinhard
;
Janus, Paweł
;
Koopman, Siem Jan
-
2016
We propose a novel multivariate
GARCH
model that incorporates realized measures for the variance matrix of returns. The …
Persistent link: https://www.econbiz.de/10011520881
Saved in:
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