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Testing causality between two vectors in multivariate GARCH models

Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894

Persistent link: https://www.econbiz.de/10011474616

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

Bayesian analysis of periodic asymmetric power GARCH models

Aknouche, Abdelhakim; Demmouche, Nacer; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012299605

Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables

Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411

Persistent link: https://www.econbiz.de/10012608655

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

Persistent link: https://www.econbiz.de/10014252427

Tail risk forecasting of realized volatility CAViaR models

Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014304842

On the univariate representation of BEKK models with common factors

Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - In: Journal of time series econometrics 8 (2016) 2, pp. 91-113

Persistent link: https://www.econbiz.de/10011582755

Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

Roengchai Tansuchat - 2010

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

Persistent link: https://www.econbiz.de/10013149274

Conditional correlations and volatility spillovers between crude oil and stock index returns

Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138

Persistent link: https://www.econbiz.de/10009777824

Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil

Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213

Persistent link: https://www.econbiz.de/10009779296