Search Results - subject:"Multivariate models" - EconBiz

The Fiction of Full BEKK

Chang, Chia-Lin; McAleer, Michael - 2017

The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, provides the regularity...

Persistent link: https://www.econbiz.de/10011662513

The fiction of Full BEKK

Chang, Chia-Lin; McAleer, Michael - 2017

The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, provides the regularity...

Persistent link: https://www.econbiz.de/10011587639

Modeling and forecasting the multivariate realized volatility of financial markets with time-varying sparsity

Luo, Jiawen; Chen, Langnan - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 2, pp. 392-408

Persistent link: https://www.econbiz.de/10012211461

Univariate and multivariate forecasting of tourism demand using state-space models

Jorge-González, Elisa; González-Dávila, Enrique; … - In: Tourism economics : the business and finance of tourism … 26 (2020) 4, pp. 598-621

Persistent link: https://www.econbiz.de/10012216467

Towards a Δ-Gamma Sato multivariate model

Boen, Lynn; Guillaume, Florence - In: Review of derivatives research 23 (2020) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10012229781

The fiction of full BEKK : pricing fossil fuels and carbon emissions

Chang, Chia-Lin; McAleer, Michael - In: Finance research letters 28 (2019), pp. 11-19

Persistent link: https://www.econbiz.de/10012384032

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2014

Persistent link: https://www.econbiz.de/10011456434

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2013

Persistent link: https://www.econbiz.de/10011455896

International patenting decisions : empirical evidence with Spanish firms

Beneito, Pilar; Rochina Barrachina, María E.; Sanchis … - In: Economia politica : journal of analytical and … 35 (2018) 2, pp. 579-599

Persistent link: https://www.econbiz.de/10012038057

A multivariate stochastic volatility model with applications in the foreign exchange market

Escobar, Marcos; Gschnaidtner, Christoph - In: Review of derivatives research 21 (2018) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10012055729

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