نتایج جستجو برای: mgarch bekk
تعداد نتایج: 339 فیلتر نتایج به سال:
Over 20 years ago we reported for the first time the presence of mechanical abnormalities in the contraction pattern of patients with the long QT syndrome (LQTS), showing the presence both of rapid early contraction and of an extended ‘plateau’ phase clearly visible at M-mode Doppler before rapid relaxation. These abnormalities were almost absent in controls and more prevalent among symptomatic...
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets
We propose sparse DCC-GARCH and BEKK-GARCH models based on L 1 ${L}_{1}$ regularization. use the to study daily return volatility correlation spillovers for 24 constituents of Bloomberg commodity index in period 2000–2018. The outperform diagonal out-of-sample terms model fit other criteria. also test whether higher visibility metals energy markets compared with agricultural commodities affects...
Due to global shut down of economic activities and transportation, the infrastructure sector has see a halt in operations due disruptions supply chain, impacting international investors as they became cautious their investment position. The study is aimed at modelling volatility returns India using S&P BSE Infrastructure Index during Covid-19 by applying univariate stipulations GARCH family mod...
در این پژوهش به محاسبه ارزش در معرض ریسک (var) سبدی از 4 فلز اساسی بورس لندن شامل روی، سرب، مس و آلومینیوم پرداخته میشود که در بازه ی زمانی ده سال از 2 ژانویه 2003 الی 19 ژانویه 2013 (12 دی 1381 الی 30 دی 1391) شامل 2704 مشاهده میباشد که از سایت بورس لندن گرفته شده است. به دلیل فقدان دادههای مناسب و کافی جهت بررسی فلزات در بورس کالای ایران، از دادههای معادل در بورس فلزات لندن(lme) استفاده...
Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH volatility models, we develop new estimation forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample performance of our approach is evaluated via Monte Carlo experiments outperforms the most alternative methods. This also used to construct minimum one-s...
Our principal objective is to implement a conditional CAPM that, in addition the global market risk, specifies level of integration, evaluates exchange rate and accounts for local risk. To investigate potential portfolio diversification foreign investors this region by examining impact financial crises on evolution national markets MENA region's integration with as well three selected developed...
This paper proposes new methods for the econometric analysis of outlier contaminated multivariate conditionally heteroscedastic time series. Robust alternatives to the Gaussian quasi-maximum likelihood estimator are presented. Under elliptical symmetry of the innovation vector, consistency results for M-estimation of the general conditional heteroscedasticity model are obtained. We also propose...
T. Antoni a, W. D. Apel b, A.F. Badea a,1, K. Bekk b, A. Bercuci b,1, H. Blümer b,a, H. Bozdog b, I. M. Brancus c, C. Büttner a, A. Chilingarian d, K. Daumiller a, P. Doll b, R. Engel b, J. Engler b, F. Feßler b, H. J. Gils b, R. Glasstetter a, R. Haeusler a, A. Haungs b, D. Heck b, J. R. Hörandel a, A. Iwan a,2, K.-H. Kampert a,b, H. O. Klages b, G. Maier b,3, H. J. Mathes b, H. J. Mayer b, J....
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...
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