Search Results - subject:"CCC garch"

Dynamic modeling and analysis of some energy companies of Indonesia over the year 2018 to 2022 by using VAR(p)-CCC GARCH(r,s) model

Mustofa Usman; Komarudin, M.; Nurhanurawati; Russel, Edwin - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 4, pp. 542-554

Persistent link: https://www.econbiz.de/10014373695

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

Persistent link: https://www.econbiz.de/10010331352

Variance targeting estimation of multivariate GARCH models

Francq, Christian; Horvath, Lajos; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014

parameters of the multivariate CCC-GARCH($p,q$) processes. This method alleviates the numerical difficulties encountered in the … null assumption that the model is well specified. An extension of the VT method to asymmetric CCC-GARCH models …

Persistent link: https://www.econbiz.de/10011112445

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014

Persistent link: https://www.econbiz.de/10010985133

Testing for structural breaks in correlation : does it improve Value-at-Risk forecasting?

Berens, Tobias; Weiß, Gregor; Wied, Dominik - 2013

Persistent link: https://www.econbiz.de/10009776165

Accurate Yield Curve Scenarios Generation using Functional Gradient Descent

Trojani, Fabio; Audrino, Francesco - Society for Computational Economics - SCE - 2005

based on (i) factor analysis, (ii) a multivariate CCC-GARCH model, or (iii) an exponential smoothing volatility estimators …

Persistent link: https://www.econbiz.de/10005132668