A Multivariate Generalized Orthogonal Factor GARCH Model

Journal of Business and Economic Statistics ◽

10.1198/073500106000000404 ◽

2007 ◽

Vol 25 (1) ◽

pp. 61-75 ◽

Cited By ~ 61

Author(s):

Markku Lanne ◽

Pentti Saikkonen

Keyword(s):

Garch Model ◽

Orthogonal Factor ◽

Generalized Orthogonal

Download Full-text

GO-GARCH: a multivariate generalized orthogonal GARCH model

Journal of Applied Econometrics ◽

10.1002/jae.688 ◽

2002 ◽

Vol 17 (5) ◽

pp. 549-564 ◽

Cited By ~ 209

Author(s):

Roy van der Weide

Keyword(s):

Garch Model ◽

Generalized Orthogonal

Download Full-text

CVaR value research on portfolios of stock that contain index futures based on time-varying-copula-GARCH model

Industrial Electronics and Engineering ◽

10.2495/iciee140551 ◽

2014 ◽

Author(s):

Yue Ding ◽

Xiaoxi Li ◽

Chuanglian Chen

Keyword(s):

Garch Model ◽

Time Varying ◽

Index Futures

Download Full-text

Forward Persistence of Volatility, Kurtosis, and the GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1460380 ◽

2009 ◽

Author(s):

Amir Khalilzadeh

Keyword(s):

Garch Model ◽

The Garch Model

Download Full-text

Evidence for Hedge Fund Predictability from a Multivariate Student-T Full-Factor GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1538294 ◽

2009 ◽

Cited By ~ 1

Author(s):

Ioannis D. Vrontos

Keyword(s):

Hedge Fund ◽

Garch Model

Download Full-text

Detecting Statistical Arbitrage Opportunities Using a Combined Neural Network - GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1984252 ◽

2012 ◽

Cited By ~ 1

Author(s):

Nikos S. Thomaidis ◽

Nick Kondakis

Keyword(s):

Neural Network ◽

Garch Model ◽

Statistical Arbitrage ◽

Arbitrage Opportunities

Download Full-text

Asymptotic Inference for Real-Time GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.2809055 ◽

2016 ◽

Author(s):

Ekaterina Smetanina

Keyword(s):

Real Time ◽

Garch Model ◽

Asymptotic Inference

Download Full-text

Heavy-Tailed Distributions, GARCH Model and the Stock Market Returns in South Korea

SSRN Electronic Journal ◽

10.2139/ssrn.3014472 ◽

2017 ◽

Author(s):

Yoon Hong ◽

Ji-chul Lee ◽

Ding Guoping

Keyword(s):

Stock Market ◽

South Korea ◽

Garch Model ◽

Market Returns ◽

Stock Market Returns ◽

Heavy Tailed Distributions ◽

Heavy Tailed

Download Full-text

Conditional Dependence Structure between Oil, Gold and USD Exchange Rates: Nested Copula Based GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.3093071 ◽

2017 ◽

Author(s):

Sana Braiek ◽

Rihab Bedoui

Keyword(s):

Exchange Rates ◽

Garch Model ◽

Dependence Structure ◽

Conditional Dependence

Download Full-text

Dynamic Volatility Modelling of Bitcoin Using Time-Varying Transition Probability Markov-Switching GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.3573537 ◽

2020 ◽

Author(s):

Chia Yen Tan ◽

you beng koh ◽

Kok Haur Ng ◽

Kooi Huat Ng

Keyword(s):

Transition Probability ◽

Markov Switching ◽

Garch Model ◽

Time Varying

Download Full-text

Apple, Microsoft, Amazon and Google - A Correlation Analysis: Evidence from a DCC-GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.3718788 ◽

2020 ◽

Author(s):

Christoph Koser ◽

Juergen Klaus

Keyword(s):

Correlation Analysis ◽

Garch Model

Download Full-text