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

Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

Energy Economics ◽

10.1016/j.eneco.2019.06.020 ◽

2019 ◽

Vol 83 ◽

pp. 119-143 ◽

Cited By ~ 7

Author(s):

Yang Hou ◽

Steven Li ◽

Fenghua Wen

Keyword(s):

Futures Markets ◽

Garch Model ◽

Fuel Oil ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Volatility Spillover ◽

Index Futures ◽

Nonparametric Approach

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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

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Time-varying ARFIMA-GARCH model with symmetric thresholds: applications to inflation

Applied Economics Letters ◽

10.1080/13504851.2020.1753877 ◽

2020 ◽

pp. 1-5

Author(s):

Zhengxun Tan ◽

Juan Liu

Keyword(s):

Garch Model ◽

Time Varying

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Consistency and Asymptotic Normality of Maximum Likelihood Estimators of a Multiplicative Time-Varying Smooth Transition Correlation GARCH Model

Econometrics and Statistics ◽

10.1016/j.ecosta.2021.07.008 ◽

2021 ◽

Author(s):

Annastiina Silvennoinen ◽

Timo Teräsvirta

Keyword(s):

Maximum Likelihood ◽

Asymptotic Normality ◽

Garch Model ◽

Maximum Likelihood Estimators ◽

Smooth Transition ◽

Time Varying ◽

Consistency And Asymptotic Normality

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Time-varying distributions and the optimal hedge ratios for stock index futures

Applied Financial Economics ◽

10.1080/758523000a ◽

1995 ◽

Vol 5 (3) ◽

pp. 131-137 ◽

Cited By ~ 56

Author(s):

Tae H. Park ◽

Lorne N. Switzer

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Index Futures ◽

Hedge Ratios ◽

Optimal Hedge

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Notice of Retraction: Study on time varying conditional correlations of stock market returns based on multivariate GARCH model

2010 IEEE International Conference on Advanced Management Science(ICAMS 2010) ◽

10.1109/icams.2010.5553092 ◽

2010 ◽

Author(s):

Yu Lin ◽

Yanxiang Chen

Keyword(s):

Stock Market ◽

Garch Model ◽

Multivariate Garch ◽

Time Varying ◽

Market Returns ◽

Stock Market Returns ◽

Multivariate Garch Model ◽

Conditional Correlations

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The Time-Varying Correlation between Crude oil Future and USA Bond Markets During 2005-2020: Evidence from a DCC-GARCH Model

Saudi Journal of Economics and Finance ◽

10.36348/sjef.2020.v04i12.003 ◽

2020 ◽

Vol 4 (12) ◽

pp. 550-561

Author(s):

Konstantinos Tsiaras

Keyword(s):

Crude Oil ◽

Garch Model ◽

Bond Markets ◽

Time Varying

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The Volatility Research in CSI 300 Index Futures by Using High Frequency Data based on GARCH Model

Proceedings of the 2017 International Conference on Economics and Management, Education, Humanities and Social Sciences (EMEHSS 2017) ◽

10.2991/emehss-17.2017.67 ◽

2017 ◽

Author(s):

Junbo Wang ◽

Susheng Wang ◽

Yongbo Kang

Keyword(s):

High Frequency ◽

Garch Model ◽

High Frequency Data ◽

Frequency Data ◽

Index Futures

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Optimal hedging with a regime-switching time-varying correlation GARCH model

Journal of Futures Markets ◽

10.1002/fut.20256 ◽

2007 ◽

Vol 27 (5) ◽

pp. 495-516 ◽

Cited By ~ 53

Author(s):

Hsiang-Tai Lee ◽

Jonathan Yoder

Keyword(s):

Regime Switching ◽

Switching Time ◽

Garch Model ◽

Time Varying ◽

Optimal Hedging

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Nonparametric estimation of a time-varying GARCH model

Journal of Nonparametric Statistics ◽

10.1080/10485252.2012.728600 ◽

2013 ◽

Vol 25 (1) ◽

pp. 33-52 ◽

Cited By ~ 9

Author(s):

Neelabh Rohan ◽

T. V. Ramanathan

Keyword(s):

Nonparametric Estimation ◽

Garch Model ◽

Time Varying

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