Search Results - subject:"Generalized Autoregressive Conditional Heteroskedasticity"

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/10012606022

Predicting stock return and volatility with machine learning and econometric models: a comparative case study of the Baltic stock market

Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - 2021

Persistent link: https://www.econbiz.de/10012694117

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

Persistent link: https://www.econbiz.de/10012591572

Impact of COVID-19 on global stock market volatility

Kusumahadi, Teresia Angelia; Permana, Fikri C. - In: Journal of economic integration : jei 36 (2021) 1, pp. 20-45

Persistent link: https://www.econbiz.de/10012593273

The relationship between global wealth and happiness : an analytical study of returns and volatility spillovers

Nguyen Khac Quoc Bao; Van Le - In: Borsa Istanbul Review 21 (2021), pp. S80-S89

autoregressive conditional heteroskedasticity framework for global wealth and happiness represented, respectively, by FTSE All …This paper explores the relationship between global wealth and happiness. We employ a bivariate generalized …

Persistent link: https://www.econbiz.de/10012817718

Global economic uncertainty and the Chinese stock market : assessing the impacts of global indicators

Zhang, Lixia; Bai, Jiancheng; Zhang, Yueyan; Cui, Can - In: Research in international business and finance 65 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014433687

Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution

Blazsek, Szabolcs; Haddad, Michel Ferreira Cardia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 589-634

Persistent link: https://www.econbiz.de/10014372917

Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model

Old, Oliver - 2022

The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and...

Persistent link: https://www.econbiz.de/10013327923

Stochastic framework for carbon price risk estimation of real estate : a Markov switching GARCH simulation approach

Oertel, Cay; Kovaleva, Ekaterina; Gleißner, Werner; … - In: Journal of property investment & finance 40 (2022) 4, pp. 381-397

Persistent link: https://www.econbiz.de/10013370717

Study about the minimum value at risk of stock index futures hedging applying exponentially weighted moving average : generalized autoregressive conditional heteroskedasticity mode...

Xu, Rong; Li, Xingye - In: International journal of economics and financial issues … 7 (2017) 6, pp. 104-110

Persistent link: https://www.econbiz.de/10011948261