Search Results - subject:"Multivariate volatility"

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206

Persistent link: https://www.econbiz.de/10011300485

Multivariate mixed normal conditional heteroskedasticity

Luc, BAUWENS; C.M., HAFNER; J.V.K., ROMBOUTS - Institut de Recherche Économique et Sociale (IRES), … - 2006

We propose a new multivariate volatility model where the conditional distribution of a vector time series is given by a …

Persistent link: https://www.econbiz.de/10004984765

Multivariate mixed normal conditional heteroskedasticity

BAUWENS, Luc; HAFNER, Christian; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2006

We propose a new multivariate volatility model where the conditional distribution of a vector time series is given by a …

Persistent link: https://www.econbiz.de/10005065329

Dynamics of the co-movement between stock and maritime markets

Erdogan, Oral; Tata, Kenan; Karahasan, B. Can; Sengoz, … - In: International Review of Economics & Finance 25 (2013) C, pp. 282-290

This study demonstrates the existence of economically significant information spillovers between stock markets and markets for shipping freight by sea. Using multivariate correlation models on the returns of the Dow Jones Industrial Average (DJIA) and the Baltic Dry Index (BDI), we find mutual...

Persistent link: https://www.econbiz.de/10010588172

Dynamics of the co-movement between stock and maritime markets

Erdogan, Oral; Tata, Kenan; Karahasan, B. Can; Sengoz, … - In: International review of economics & finance : IREF 25 (2013), pp. 282-290

Persistent link: https://www.econbiz.de/10009693298

Bayesian analysis of latent threshold dynamic models

Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164

Persistent link: https://www.econbiz.de/10009754013

A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices

Bonato, M.; Caporin, Massimiliano; Ranaldo, Angelo - In: The European journal of finance 18 (2012) 9/10, pp. 761-774

Persistent link: https://www.econbiz.de/10009691781

Testing for Causality in Variance using Multivariate GARCH Models

Hafner, Christian M.; Herwartz, Helmut - 2004

that a convenient alternative to residual based testing is to specify a multivariate volatility model, such as multivariate …

Persistent link: https://www.econbiz.de/10010296228

Semiparametric multivariate volatility models

Rombouts, Jeroen V. K.; Hafner, Christian M. - 2004

Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which …

Persistent link: https://www.econbiz.de/10010296410

Testing for causality in variance using multivariate GARCH models

Hafner, C.M.; Herwartz, H. - Erasmus University Rotterdam, Econometric Institute - 2004

that a convenient alternative to residual based testing is to specify a multivariate volatility model, such as multivariate … asymmetries in volatility are ignored. Keywords: causality, multivariate volatility, local power JEL Classification: C22, C52 … 5 briefly summarizes our main results and underscores their scope for empirical multivariate volatility modelling …

Persistent link: https://www.econbiz.de/10005505004