Add to ORKGtextabstractThis paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London Stock Exchange, from 3 January 2005 to 31 January 2015. This period capture
© 2014. We examine how the most prevalent stochastic properties of key financial time series have be...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
This thesis contributes four essays to the economic literature on the multivariate modeling of the v...
markdownabstract__Abstract__ This paper applies the Hafner and Herwartz (2006) (hereafter HH) app...
This article applies two measures to assess spillovers across markets: the Diebold and Yilmaz’s (201...
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multiva...
In the empirical analysis of financial time series, multivariate GARCH models have been used in vari...
In the empirical analysis of financial time series, multivariate GARCH models have been used in vari...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlati...
After the so-called Asia crisis in the summer of 1997 the stock markets were shaken by an increased ...
We estimate the data generating process of daily excess returns of 20 major German stocks in a CAPM ...
AbstractThe GARCH(1,1), GJR-GARCH(1,1) and EGARCH(1,1) models will be used to analyse changes in the...
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matemat...
© 2014. We examine how the most prevalent stochastic properties of key financial time series have be...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
This thesis contributes four essays to the economic literature on the multivariate modeling of the v...
markdownabstract__Abstract__ This paper applies the Hafner and Herwartz (2006) (hereafter HH) app...
This article applies two measures to assess spillovers across markets: the Diebold and Yilmaz’s (201...
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multiva...
In the empirical analysis of financial time series, multivariate GARCH models have been used in vari...
In the empirical analysis of financial time series, multivariate GARCH models have been used in vari...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlati...
After the so-called Asia crisis in the summer of 1997 the stock markets were shaken by an increased ...
We estimate the data generating process of daily excess returns of 20 major German stocks in a CAPM ...
AbstractThe GARCH(1,1), GJR-GARCH(1,1) and EGARCH(1,1) models will be used to analyse changes in the...
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matemat...
© 2014. We examine how the most prevalent stochastic properties of key financial time series have be...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
This thesis contributes four essays to the economic literature on the multivariate modeling of the v...