Search Results - subject:"Multivariate GARCH Model"

A Multivariate Generalized Orthogonal Factor GARCH Model

Lanne, Markku; Saikkonen, Pentti - Volkswirtschaftliche Fakultät, … - 2005

The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly...

Persistent link: https://www.econbiz.de/10008534235

The impact of China's stock market reforms on its international stock market linkages

Li, Hong - In: The Quarterly Review of Economics and Finance 52 (2012) 4, pp. 358-368

This paper investigates how China's stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4×4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China's regional and global linkages...

Persistent link: https://www.econbiz.de/10011040183

Exploring the priced factors in ICAPM in Japan

Tsuji, Chikashi - In: Modern economy 2 (2011) 4, pp. 701-705

Persistent link: https://www.econbiz.de/10009620647

Market liberalization and trading in Korea

Blenman, Lloyd P.; Chen, Dar-Hsin; Chen, Chun-Da - 2010

This paper reports on the trading behavior of major participants, investment trust companies, banks, and foreigners in South Korea in the period after the currency markets were liberalized and the limits on foreign investments were lifted. It was found that trading in the spot currency market...

Persistent link: https://www.econbiz.de/10009441666

Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets

So, Mike; Tse, Alex - In: Asia-Pacific Financial Markets 16 (2009) 3, pp. 183-210

Persistent link: https://www.econbiz.de/10004976854

Does Asymmetric Dependence Structure Matter? A Value-at-Risk View

Lai, YiHao - In: International Journal of Business and Economics 7 (2008) 3, pp. 249-268

To investigate the importance of asymmetric dependence structures for portfolio value-at-risk (VaR) and conditional VaR (CVaR) calculations, we introduce bivariate copula functions with two GJR-GARCH models as marginals. The results show that the copula models and the competing dynamic...

Persistent link: https://www.econbiz.de/10010837280

Optimal hedge ratio and hedging effectiveness of stock index futures: evidence from India

Bhaduri, Saumitra; Durai, S. Raja Sethu - In: Macroeconomics and Finance in Emerging Market Economies 1 (2008) 1, pp. 121-134

multivariate GARCH model cannot be sublined because of its estimation complexities. However, from a cost of computation point of …-, 10- and 20-day horizons. The results clearly show that the time-varying hedge ratio derived from the multivariate GARCH … model has higher mean return and higher average variance reduction across hedged and unhedged positions. Even though not …

Persistent link: https://www.econbiz.de/10009219250

Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan

Wang, Kuan-Min; Nguyen Thi, Thanh-Binh - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 422-432

conditional correlation coefficients of DCC multivariate GARCH model. The third step employs one-step and N-step forecast test to …

Persistent link: https://www.econbiz.de/10011058170

International Asset Excess Returns and Multivariate Conditional Volatilities

Chiang, Thomas; Yang, Sheng-Yung - In: Review of Quantitative Finance and Accounting 24 (2005) 3, pp. 295-312

. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that …

Persistent link: https://www.econbiz.de/10005542131

A Multivariate GARCH Model with Time-Varying Correlations

Tse, Y.K.; Tsui, Albert K.C. - EconWPA - 2000

In this paper we propose a new multivariate GARCH model with time- varying correlations. We adopt the vech …

Persistent link: https://www.econbiz.de/10005062567