In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the...

In this paper we propose a new multivariate GARCH model with time- varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the...

This paper examines the dynamic relationship between firm-level return volatility and public news sentiment. By using the new RavenPack News Analytics – Dow Jones Edition database that captures over 1200 types of firm-specific and macroeconomic news releases and their sentiment scores at high...

Most empirical investigations of the business cycles in the United States have excluded the dimension of asymmetric conditional volatility. This paper analyses the volatility dynamics of the US business cycle by comparing the performance of various multivariate generalised autoregressive...

The evolution of volatility and correlation patterns of the Malaysian ringgit (MYR) and the Singapore dollar (SGD) are analyzed in this paper. Our approach can simultaneously capture the empirical regularities of persistent and asymmetric effects in volatility and time-varying correlations of...

A recent article (Tse, 1998) published in this journal analysed the conditional heteroscedasticity of the yen-dollar exchange rate based on the fractionally integrated asymmetric power ARCH model. In this paper, we present replication results using Tse's (1998) yen-dollar series. We also examine...

Singapore dollar are analyzed in this paper. Our approach can simultaneously capture the empirical regularities of persistent and asymmetric effects in volatility and timevarying correlations of financial time series. Consistent with the results of Tse and Tsui (1997), there is only some weak...