Showing 1 - 10 of 11
returns of different maturity and the fundamental macroeconomic factors is modelled using multivariate GARCH with conditional …
Persistent link: https://www.econbiz.de/10010261080
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one. …
Persistent link: https://www.econbiz.de/10010264309
trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This …
Persistent link: https://www.econbiz.de/10010266050
Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...
Persistent link: https://www.econbiz.de/10010333409
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010531783
Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true …
Persistent link: https://www.econbiz.de/10011431272
GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by …
Persistent link: https://www.econbiz.de/10010278896
emissions trading market. Based on the application of a combined jump-GARCH model the behavior of EUA prices is characterized …. The jump-GARCH model explains the unsteady carbon price movement well and, moreover, shows that between 40 and 60 percent …
Persistent link: https://www.econbiz.de/10010281924
cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …
Persistent link: https://www.econbiz.de/10011931917
We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...
Persistent link: https://www.econbiz.de/10011615848