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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...

Persistent link: https://www.econbiz.de/10013459316

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

Extended multivariate EGARCH model : a model for zero-return and negative spillovers

Xu, Yongdeng - 2024

negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite … investigates volatility spillover effects among the bond, stock, crude oil, and gold markets. Overall, this extended multivariate … EGARCH model offers a flexible and comprehensive framework for analyzing multivariate volatility and spillover effects in …

Persistent link: https://www.econbiz.de/10015151272

L1 regularization for high-dimensional multivariate GARCH models

Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29

tuning parameters. In addition, we apply the proposed framework to analyze volatility spillover and portfolio optimization …

Persistent link: https://www.econbiz.de/10014497339

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494

Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models

Fengler, Matthias; Herwartz, Helmut - 2015

Persistent link: https://www.econbiz.de/10011717132

Sparse multivariate GARCH

Wu, Jianbin; Dhaene, Geert - 2016

Persistent link: https://www.econbiz.de/10011707052

Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - The Case of Multivariate GARCH Models

Fengler, Matthias - 2016

We propose global and disaggregated spillover indices that allow us to assess variance and covariance spillovers …-dimensional system of broad asset classes (equity, fixed income, foreign exchange and commodities), we illustrate the new spillover …

Persistent link: https://www.econbiz.de/10012988156

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Aielli, Gian Piero - 2011

It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to...

Persistent link: https://www.econbiz.de/10013125314

Multivariate GARCH Models

Silvennoinen, Annastiina - 2008

This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example...

Persistent link: https://www.econbiz.de/10012723997