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On loss functions and ranking forecasting performances of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - In: Journal of Econometrics 173 (2013) 1, pp. 1-10

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is … the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized …

Persistent link: https://www.econbiz.de/10010608475

Multivariate hyper-rotated GARCH-BEKK

Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

Volatility spillovers across European stock markets under the uncertainty of Brexit

Li, Hong - In: Economic modelling 84 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012210266

Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887

Persistent link: https://www.econbiz.de/10013187611

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262

Persistent link: https://www.econbiz.de/10011774739

Volatility spillovers in commodity markets : a large t-vector autoregressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012509561

A practical multivariate approach to testing volatility spillover

Leong, Soon Heng; Urga, Giovanni - In: Journal of economic dynamics & control 153 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014479289

Volatility transmission in the South African white maize futures market

Sayed, Ayesha; Auret, C. - In: Eurasian economic review : a journal in applied … 10 (2020) 1, pp. 71-88

Persistent link: https://www.econbiz.de/10012224439

Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets

Teterin, Pavel; Brooks, Robert; Enders, Walter - In: Journal of empirical finance 38 (2016), pp. 22-36

Persistent link: https://www.econbiz.de/10011663220