Search Results - subject:"ARCH-Modell"

Fear divides, not unites : volatility transmission and decoupling between cryptocurrency and renewable energy markets

Al-Harbi, Ahmad - 2026

Persistent link: https://www.econbiz.de/10015616819

Oil price shocks and stock market responses : evidence from Saudi Arabia and Spain

Alzamel, Hussah Adnan; Othman, Jaizah - 2026

Persistent link: https://www.econbiz.de/10015616888

Oil price volatility and unemployment in iraq : a two-stage approach using generalized autoregressive conditional heteroskedasticity-mixed-data sampling

Abed, Zainab Ahmed; Barguellil, Achouak; Fathalla, … - 2026

Persistent link: https://www.econbiz.de/10015616941

When oil moves the market : asymmetric tail effects of oil price shocks on stock returns in major oil-producing countries

Al-Jalahma, Abdulla; Al-Mohamad, Somar; Jreisat, Ammar … - 2026

Persistent link: https://www.econbiz.de/10015617386

Monotonic polynomial GARCH models for conditional higher moments

Beiner, Rouven; Süssmuth, Bernd - 2026

Density expansions such as the Gram-Charlier (GC) expansion allow for the modeling of time-varying higher moments. However, they can suffer from spurious multimodality, negative densities, and asymptotically light tails if truncated. This paper introduces monotonic polynomial generalized...

Persistent link: https://www.econbiz.de/10015654688

Adaptive LASSO-MGARCH for multivariate volatility forecasting

Xu, Yongdeng; Lyu, Juyi; Lu, Wenna - 2026

This paper evaluates an Adaptive LASSO-MGARCH model for multivariate volatility forecasting, with an application to green and conventional bonds, equities, energy commodities, and EU carbon allowances. By introducing coefficient-specific adaptive penalisation directly into the multivariate GARCH...

Persistent link: https://www.econbiz.de/10015614300

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

Persistent link: https://www.econbiz.de/10015592338

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - 2026

This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and the US Equity Index (S&P500). The study...

Persistent link: https://www.econbiz.de/10015591162

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://www.econbiz.de/10015604163

Managing systemic risk in energy and financial markets : evidence from five portfolio strategies based on connectedness

Bouzguenda, Mariem; Jarboui, Anis - 2026

Persistent link: https://www.econbiz.de/10015620298