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  • Search: subject:"Multivariate GARCH models"
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Year of publication
Subject
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multivariate GARCH models 50 Multivariate GARCH models 38 ARCH-Modell 28 Volatility 27 ARCH model 26 Volatilität 24 Korrelation 10 Dynamic conditional correlations 9 Estimation 9 Schätzung 9 Time series analysis 9 Zeitreihenanalyse 9 Correlation 8 Theorie 8 Theory 8 Constant conditional correlations 7 Spillover-Effekt 7 Aktienmarkt 6 China 6 Kapitaleinkommen 6 Spillover effect 6 Asia 5 Capital income 5 Estimation theory 5 Hedging 5 Multivariate GARCH Models 5 Portfolio selection 5 Portfolio-Management 5 Rohstoffderivat 5 Schätztheorie 5 Stock market 5 energy prices 5 forward exchange rates 5 non-deliverable forward market 5 renminbi 5 Brent oil prices 4 Causality analysis 4 Commodity derivative 4 Kausalanalyse 4 Multivariate cointegration 4
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Online availability
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Free 62 Undetermined 20
Type of publication
All
Book / Working Paper 59 Article 40
Type of publication (narrower categories)
All
Article in journal 22 Aufsatz in Zeitschrift 22 Working Paper 14 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Thesis 1
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Language
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English 50 Undetermined 45 Spanish 2 German 1 French 1
Author
All
Funke, Michael 7 Lanza, Alessandro 7 Manera, Matteo 7 Ahamada, Ibrahim 6 Kirat, Djamel 6 Colavecchio, Roberta 5 Fengler, Matthias 4 Giovannini, Massimo 4 Grasso, Margherita 4 Herwartz, Helmut 4 Bekiros, Stelios D. 3 McAleer, Michael 3 Palomba, Giulio 3 Polivka, Jeannine 3 Adams, Zeno 2 Andreou, Elena 2 Arouri, Mohamed El Hedi 2 BAUWENS, Luc 2 Balli, Faruk 2 Bejarano-Bejarano, Luis V. 2 Bellalah, Mondher 2 Cermeño, Rodolfo 2 Chruscinski, Tomasz 2 Füss, Roland 2 Ghysels, Eric 2 Glück, Thorsten 2 Gomez-Gonzalez, Jose E. 2 Hafner, Christian M. 2 Herwartz, H. 2 Jumah, Adusei 2 Kunst, Robert M. 2 LAURENT, Sébastien 2 Loermann, Julius 2 Melo-Velandia, Luis F. 2 Nguyen, Duc Khuong 2 ROMBOUTS, Jeroen 2 Rossi, Eduardo 2 Spazzini, Filippo 2 Tanattrin Bunnag 2 Torres-Gorron, Jhon E. 2
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Institution
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HAL 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre 3 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 2 Centro de Investigación y Docencia Económicas (CIDE) 2 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 2 Fondazione ENI Enrico Mattei (FEEM) 2 School of Economics and Political Science, Universität St. Gallen 2 Society for Computational Economics - SCE 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 BANCO DE LA REPÚBLICA 1 Banco de la Republica de Colombia 1 Banque de France 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, European University Institute 1 Development and Policies Research Center (Depocen) 1 Dipartimento di Scienze Economiche e Sociali, Facoltà di Economia "Giorgio Fuà" 1 Départment d'économétrie et d'économie politique (DEEP), Faculté des Hautes Études Commerciales (HEC) 1 Econometric Society 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Henley Business School, University of Reading 1 NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 1 Narodowy Bank Polski 1 Rimini Centre for Economic Analysis (RCEA) 1 School of Economics, Kingston University 1 Siirtymätalouksien tutkimuslaitos, Suomen Pankki 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 University of Cyprus Department of Economics 1
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Published in...
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BOFIT Discussion Papers 3 CORE Discussion Papers 3 Quantitative Macroeconomics Working Papers 3 Computing in Economics and Finance 2002 2 Documents de travail du Centre d'Economie de la Sorbonne 2 EconomiX Working Papers 2 Equilibrium 2 Global Business and Economics Review 2 International Journal of Energy Economics and Policy : IJEEP 2 Journal of banking & finance 2 MPRA Paper 2 Nota di Lavoro 2 Post-Print / HAL 2 South East European Journal of Economics and Business 2 Working Papers / Fondazione ENI Enrico Mattei (FEEM) 2 Working Papers / HAL 2 Working paper 2 Working papers / Centro de Investigación y Docencia Económicas (CIDE) 2 2000 Conference, April 17-18 2000, Chicago, Illinois 1 Annals of economics and statistics 1 Australian journal of management 1 BOFIT discussion papers 1 BORRADORES DE ECONOMIA 1 Borradores de Economia 1 Borradores de economía 1 CIRANO Working Papers 1 Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 1 Computational economics 1 Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Dynamic Econometric Models 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Econometric Society 2004 Far Eastern Meetings 1 Economic Analysis 1 Economics & Management Discussion Papers 1 Economics Discussion Papers / School of Economics, Kingston University 1 Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Economics Working Papers / Department of Economics, European University Institute 1 Economía informa 1 Empirica 1
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Source
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RePEc 62 ECONIS (ZBW) 29 EconStor 7 BASE 1
Showing 1 - 10 of 99
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2025
Persistent link: https://www.econbiz.de/10015339180
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2024
Persistent link: https://www.econbiz.de/10015130707
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2022
Persistent link: https://www.econbiz.de/10013399810
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SRISK: una medida de riesgo sistémico para la banca colombiana, 2005-2021
Sánchez-Quinto, Camilo Eduardo - 2022
Persistent link: https://www.econbiz.de/10013459385
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Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
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An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices
Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Technological forecasting & social change : an … 186PA (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014250438
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Hedging stock market prices with WTI, Gold, VIX and cryptocurrencies : a comparison between DCC, ADCC and GO-GARCH models
Fakhfekh, Mohamed; Jeribi, Ahmed; Ghorbel, Ahmed; … - In: International journal of emerging markets 18 (2023) 4, pp. 978-1006
Persistent link: https://www.econbiz.de/10014333595
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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020
We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019....
Persistent link: https://www.econbiz.de/10012614244
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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020
We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019....
Persistent link: https://www.econbiz.de/10012294928
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Are correlations constant? : empirical and theoretical results on popular correlation models in finance
Adams, Zeno; Füss, Roland; Glück, Thorsten - 2017 - This version: February 2017
Persistent link: https://www.econbiz.de/10011686765
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