✦ LIBER ✦

Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

✍ Scribed by Giuseppe Storti

Publisher: Springer
Year: 2007
Tongue: English
Weight: 400 KB
Volume: 17
Category: Article
ISSN: 1613-981X
DOI: 10.1007/s10260-007-0066-4

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Volatility dynamics of the US business c

Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach

✍ Kin-Yip Ho; Albert K. Tsui; Zhaoyong Zhang 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 508 KB

Most empirical investigations of the business cycles in the United States have excluded the dimension of asymmetric conditional volatility. This paper analyses the volatility dynamics of the US business cycle by comparing the performance of various multivariate generalised autoregressive conditional

Forecasting financial volatility of the

Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model

✍ Anastassios A. Drakos; Georgios P. Kouretas; Leonidas P. Zarangas 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 235 KB 👁 1 views

## Abstract In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion

Volatility analysis during the Asia cris

Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U.S., Germany and Japan

✍ Wolfgang Polasek; Lei Ren 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 187 KB 👁 2 views

The asymmetric reactions of mean and vol

The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model

✍ Cathy W.S. Chen; Ming Jing Yang; Richard Gerlach; H. Jim Lo 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 281 KB

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the c

Finding market structure by sales count

Finding market structure by sales count dynamics—Multivariate structural time series models with hierarchical structure for count data—

✍ Nobuhiko Terui; Masataka Ban; Toshihiko Maki 📂 Article 📅 2009 🏛 Springer Japan 🌐 English ⚖ 738 KB