Volatility Parameters from the Asymmetric BEKK Model
The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation
... The contribution of this paper is threefold. First, we capture the correlation between inflation and volatility by modeling jointly the distribution of inflation and log-volatility within a TVP-SV ...
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Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
... of volatility, applicable to both ARCH-type and SV ...allocation, volatility forecasting, options pricing, risk management, and ...examine volatility asymmetry, which makes it feasible to compare ...
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Variance targeting estimation of the BEKK-X model
... forecast volatility in nancial markets, there are, however, relatively few results on the asymptotic behavior of the estimation in presence of exogenous ...of model: The Asymmetric Power ARCH(p, ...
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Asymmetric Realized Volatility Risk
... 2.1. Volatility risk: empirical regularities. Volatility risk is a substantive issue ...realized volatility forecasts calculated from the best fitting model of the empirical study in ...
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Asymmetric Realized Volatility Risk
... given volatility are normally distributed and assume that return and volatility shocks are uncorrelated then we have learned that on this particular day the “ex post 1% value at risk” was ...the ...
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Asymmetric Realized Volatility Risk
... the model. Naturally, days of very high volatility are far more frequent than days of very high volatility and tail return ...2.1. Volatility risk: empirical regularities. Volatility ...
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Asymmetric Multivariate Stochastic Volatility
... stochastic volatility (SV) literature, there has been some confusion regarding the definitions of asymmetry and ...ex-post volatility in the rate of returns on equity and the current value of the ...in ...
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Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
... the model of Avellaneda, Levy & Paras (1995) and Lyons (1995) and the rationale behind the uncertain parameter approach and describes the methodology of worst-case and best-case ...stochastic model for ...
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A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
... Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and ...
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Asymmetric Volatility and Dynamic Asset Allocation
... The volatility feedback effect may give rise to profound implications on the dynamic asset allocation decision of the ...the volatility feedback effect is kicked in, the caused change in future investment ...
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Modeling Asymmetric Volatility In Oil Prices
... The volatility of oil prices has been discussed earlier by Claessens and Varangis (1994), Daniel (2001), Ewing, Malik, and Ozfidan (2002), Kohl (2002), and Hamilton ...how volatility in oil prices can have ...
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Alternative Asymmetric Stochastic Volatility Models
... stochastic volatility (SV) models are based on the direct correlation between the innovations in both returns and ...stochastic volatility and the negative correlation between the ...time model due ...
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Dependences and volatility spillovers between the oil and stock markets : New evidence from the copula and VAR-BEKK-GARCH models
... copula model for estimating the dynamic dependence relationship between the crude oil market and stock markets in the US and ...VAR-BEKK-GARCH model to examine if, and how, volatility spills ...
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Equation by equation estimation of the semi-diagonal BEKK model with covariates
... moving from a BEKK/BEKK-X model to a restricted model with fewer parameters to ...semi-diagonal BEKK model with presence of the exogenous ...the volatility ...
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PAIN AT THE PUMP: IS THERE AN ASYMMETRIC INFLUENCE OF OIL VOLATILITY ON GASOLINE VOLATILITY IN FRANCE?
... (1990) model by making the conditional correlation matrix ...(DCC) model constrains the time varying conditional correlation matrix to be positive definite, causing the number of parameters to grow ...
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Alternative Formulations of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-tailed Errors
... stochastic volatility model was also compared with a threshold GARCH formulation having the same observation ...stochastic volatility model turned out to yield a significantly higher marginal ...
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Asymmetric volatility of the Thai stock market: evidence from high-frequency data
... conditional volatility negatively causes stock market return in the GJR, EGARCH and PGARCH models with the coefficients of ...EGARCH model, but the level of significance is only 10 percent for the GJR ...
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The Fiction of Full BEKK
... full BEKK model can be replaced by the triangular or Hadamard (element-by-element multiplication) BEKK models, with similar problems of identification and (lack of) ...Hadamard BEKK models ...
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Switching Asymmetric GARCH and Options on a Volatility Index
... that volatility index option pricing models that do not take into account the regime switching and asymmetry properties of volatility, undervalue a 3- month option by about ...a model was proposed in ...
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Modeling Asymmetric Volatility in the Nigerian Stock Exchange
... of volatility to negative and positive news using daily closing prices of the Nigerian Stock Exchange ...supporting asymmetric effects in the NSE stock returns but with absence of leverage ...estimates ...
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