H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

Path analysis is useful to explain the interrelationships among sets of observed variables in a causal chain. However, path analysis has been underutilized in health science and epidemiology research, because of its restrictive requirement of a complete causal ordering of variables. In order to solve this problem, we suggest the use of multivariate path models and derive a multivariate ”Calculu...

Correlations between asset returns are important in many financial applications. In recent years, multivariate volatility models have been used to describe the time-varying feature of the correlations. However, the curse of dimensionality quickly becomes an issue as the number of correlations is k(k− 1)/2 for k assets. In this paper, we review some of the commonly used models for multivariate v...

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices induced by economic proximity. These structured speci…cations aim at solving the curse of dimensionality problem, which limits feasibility of model-estimation to small cross-sections for unstructured models. Structured parametrizations possess the following four desirable proper...

in this paper, the use of weighted pairwise likelihood instead of the full likelihood in estimating the parameters of the multivariate ar(1) is investigated. a closed formula for typical elements of the godambe information(sandwich information) is presented. some efficiency calculations are also given to discuss the feasibility andcomputational advantages of the weighted pairwise likelihood app...

Multivariate longitudinal ordinal data are often involved in studies with each individual having more than one measure. However, due to complicated correlation structures within and no explicit likelihood functions, analyzing multivariate is quite challenging. In this paper, Markov chain Monte Carlo (MCMC) sampling methods developed analyze by extending probit (MVP) models for univariate multip...