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Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Multivariate return decomposition : theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10011313230

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

Persistent link: https://www.econbiz.de/10014382180

Modeling volatility persistence and asymmetry with exogenous breaks in the Nigerian stock returns

Kuhe, David A. - In: CBN journal of applied statistics 9 (2018) 1, pp. 167-196

This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study … incorporation of structural breaks while estimating volatility in the Nigerian stock market. This will help to avoid over …-estimation of volatility shocks and restore investor's confidence in the stock market. …

Persistent link: https://www.econbiz.de/10011922754

Modeling conditional correlations of asset returns : a smooth transition approach

Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric reviews 34 (2015) 1/5, pp. 174-197

Persistent link: https://www.econbiz.de/10011373298

Equation-by-equation estimation of multivariate periodic electricity price volatility

Escribano, Álvaro; Sucarrat, Genaro - In: Energy economics 74 (2018), pp. 287-298

Persistent link: https://www.econbiz.de/10011972846

Multivariate models with long memory dependence in conditional correlation and volatility

Dark, Jonathan - In: Journal of empirical finance 48 (2018), pp. 162-180

Persistent link: https://www.econbiz.de/10012109291

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

Fractional integration and fat tails for realized covariance kernels

Opschoor, Anne; Lucas, André - In: Journal of financial econometrics 17 (2019) 1, pp. 66-90

Persistent link: https://www.econbiz.de/10012054426

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

Lemand, Ryan - 2022

the financial instruments in the portfolio and on the volatility of those returns. This task is relatively simple if the … correlations and volatilities do not change over time. But in reality both volatility and stock market indexes’ correlations do …

Persistent link: https://www.econbiz.de/10014236561