Search Results

Testing for an omitted multiplicative long-term component in GARCH models,
Christian Conrad and Melanie Schienle, from Karlsruhe Institute of Technology (KIT), Department of Economics and Management (2019)
Keywords: GARCH-MIDAS, LM test, Long-Term Volatility, Mixed-Frequency Data, Volatility Component Models

Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH,
Dimitrios I. Vortelinos, in Research in International Business and Finance (2017)
Keywords: HAR; Principal Components Combining; Neural networks; GARCH; Forecasting;

Measuring the risk premium in uncovered interest parity using the component GARCH-M model,
Dandan Li, Atanu Ghoshray and Bruce Morley, in International Review of Economics & Finance (2012)
Keywords: Risk premium; Uncovered interest parity; Component GARCH-in-mean;

Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components,
Jun Ma and Charles Nelson, from Institute for Advanced Studies (2010)
Keywords: ARMA, unobserved components, state space, GARCH, zero-information-limit-condition

A Comparative Study of the Taiwan and Japan Equity and Foreign Exchange Markets: Modeling, Estimation and Application of the Component Garch-in-Mean Model,
Hsiang-Hsi Liu and Robin K Chou, in Asian Economic and Financial Review (2016)
Keywords: ARCH, Component GARCH-in-mean model (GARCH-M), Risk premium, Foreign currency exposure, Equity market, Transitory and permanent volatilities.

Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region,
Dennis Mapa and Kristine Joy S. Briones, from University Library of Munich, Germany (2006)
Keywords: Common Component, Volatility, GARCH model

A Coupled Component GARCH Model for Intraday and Overnight Volatility,
Oliver Linton and JunJie Wu, from Faculty of Economics, University of Cambridge (2018)
Keywords: DCS, GAS, GARCH, size-based portfolios, Testing

Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects,
Yuanhua Feng, from Paderborn University, CIE Center for International Economics (2013)
Keywords: Spatial multiplicative component GARCH, high-frequency returns, double-conditional smoothing, multiplicative random effect, volatility arch, volatility saddle.

A Component GARCH Model with Time Varying Weights,
Luc Bauwens and Giuseppe Storti, from Université catholique de Louvain, Département des Sciences Economiques (2007)
Keywords: Persistence, Volatility components, Value-at-risk, Expected short-fall

Econometric Analysis of SOFIX Index with GARCH Models,
Plamen Petkov, Margarita Shopova, Tihomir Varbanov, Evgeni Ovchinnikov and Angelin Lalev, in JRFM (2024)
Keywords: SOFIX; modelling; GARCH; EGARCH; IGARCH; Component GARCH; GJR-GARCH; world crisis; COVID-19 pandemic

Risk Model Validation: An Intraday VaR and ES Approach Using the Multiplicative Component GARCH,
Ravi Summinga-Sonagadu and Jason Narsoo, in Risks (2019)
Keywords: model validation; high-frequency; Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH); error distributions; intraday value-at-risk (VaR); intraday expected shortfall (ES); backtests

Method of moments estimation of GO-GARCH models,
H. Peter Boswijk and Roy van der Weide, in Journal of Econometrics (2011)
Keywords: Multivariate GARCH Factor models Method of moments Common principal components

A reality check on the GARCH-MIDAS volatility models,
Nader Virk, Farrukh Javed and Basel Awartani, from Örebro University, School of Business (2021)
Keywords: GARCH-MIDAS models; component variance forecasts; macro-variables; data snooping

Inference on Multiplicative Component GARCH without any Small-Order Moment,
Christian Francq, Baye Matar Kandji and Jean-Michel Zakoian, from Center for Research in Economics and Statistics (2022)
Keywords: GARCH-MIDAS, Moments existence, QMLE, Residual Bootstrap, Tests on boundary parameters.

Inflation targeting in Latin America: Empirical analysis using GARCH models,
Carmen Broto, in Economic Modelling (2011)
Keywords: Inflation Inflation targets Inflation uncertainty GARCH models Unobserved component models

GARCH Analysis of Switchers,
John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells, from Palgrave Macmillan (2015)
Keywords: High Volatility, GARCH Model, Capital Asset Price Model, Stock Trade, Risk Component

Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis,
Christian Conrad, Anessa Custovic and Eric Ghysels, in JRFM (2018)
Keywords: Baltic dry index; Bitcoin volatility; digital currency; GARCH-MIDAS; pro-cyclical volatility; volume

Testing for misspecification in the short-run component of GARCH-type models,
Thomas Chuffart, Emmanuel Flachaire and Péguin-Feissolle Anne, in Studies in Nonlinear Dynamics & Econometrics (2018)
Keywords: conditional heteroskedasticity, GARCH, Lagrange multiplier test, misspecification test, nonlinear volatility time series

Volatility Components, Affine Restrictions and Non-Normal Innovations,
Peter Christoffersen, Kris Dorion and Yintian Wang, from Department of Economics and Business Economics, Aarhus University (2008)
Keywords: Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality

Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997-1998,
Hans Byström, in The European Journal of Finance (2004)
Keywords: principal components, multivariate GARCH, covariance matrix, forecast evaluation,

Orthogonal GARCH and Covariance Matrix Forecasting in a Stress Scenario: The Nordic Stock Markets During the Asian Financial Crisis 1997-1998,
Hans Byström, from Lund University, Department of Economics (2000)
Keywords: principal components; multivariate GARCH; covariance matrix; forecast evaluation.

Measuring time-varying financial market integration: An unobserved components approach,
Tino Berger and Lorenzo Pozzi, in Journal of Banking & Finance (2013)
Keywords: Financial markets; Integration; Factor model; Unobserved component; GARCH;

On the statistical properties of multiplicative GARCH models,
Christian Conrad and Onno Kleen, from University of Heidelberg, Department of Economics (2016)
Keywords: Forecast evaluation; GARCH-MIDAS; Mincer-Zarnowitz regression; volatility persistence; volatility component model; long-term volatility.

Data cloning estimation of GARCH and COGARCH models,
M. T. Rodríguez Bernal and Eva Romero, from Universidad Carlos III de Madrid. Departamento de Estadística (2013)
Keywords: GARCH

VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump,
Qi Wang and Zerong Wang, in Journal of Banking & Finance (2020)
Keywords: GARCH; Realized volatility; Volatility component; VIX Futures pricing;

Stock exchange mergers and return co-movement: A flexible dynamic component correlations model,
Jörgen Hellström, Yuna Liu and Tomas Sjögren, in Economics Letters (2013)
Keywords: Time-varying correlation; Long-run trend; Transitory component; C-GARCH;

Time variation in the relative importance of permanent and transitory components in the U.S. housing market,
N Kishor, Swati Kumari and Suyong Song, in Finance Research Letters (2015)
Keywords: U.S. housing market; Unobserved component model; Heteroskedasticity; GARCH; IGARCH;

Empirical performance of component GARCH models in pricing VIX term structure and VIX futures,
Hung-Wen Cheng, Li-Han Chang, Chien-Ling Lo and Jeffrey Tzuhao Tsai, in Journal of Empirical Finance (2023)
Keywords: VIX; VIX term structure; VIX futures; GARCH; Long-run variance;

Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model,
Alessandra Amendola, Vincenzo Candila and Giampiero Gallo, in Econometrics and Statistics (2021)
Keywords: Volatility; Asymmetry; GARCH–MIDAS; Forecasting; VIX; Realized volatility;

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs,
Marc S. Paolella, Paweł Polak and Patrick S. Walker, in Journal of Banking & Finance (2021)
Keywords: COVID-19; Dynamic conditional correlations; Multivariate GARCH; Generalized hyperbolic distribution; Principal component analysis; Portfolio optimization;

A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs,
Marc S. Paolella, Pawel Polak and Patrick S. Walker, from Swiss Finance Institute (2019)
Keywords: Dynamic Conditional Correlations; Multivariate GARCH; Multivariate Generalized Hyperbolic Distribution; Principle Component Analysis; Financial Systemic Risk

Persistent and transient variance components in option pricing models with variance-dependent Kernel,
Hamed Ghanbari, in Journal of Empirical Finance (2024)
Keywords: Component GARCH; Joint estimations; Two-factor GARCH; Two-factor stochastic volatility; Variance-dependent pricing Kernel; Variance risk premium;

An empirical investigation of investor sentiment and volatility of realty sector market in India: an application of the DCC–GARCH model,
Naga Pillada and Sangeetha Rangasamy, in SN Business & Economics (2023)
Keywords: DCC–GARCH, Diebold–Yilmaz test, Investor sentiment index, Indian realty stock market, Principal component analysis

Idiosyncratic labour income risk and aggregate consumption: An unobserved component approach,
Lorenzo Pozzi, in Journal of Macroeconomics (2010)
Keywords: Labour income uncertainty Consumption Precaution State space models GARCH errors Unobserved component Bayesian

Long- and short-run components of factor betas: Implications for stock pricing,
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang, in Journal of International Financial Markets, Institutions and Money (2021)
Keywords: Long-run betas; Short-run betas; Risk premia; Component GARCH model; MIDAS;

Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing,
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: long-run betas, short-run betas, risk premia, component GARCH model, MIDAS

Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing,
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
Keywords: long-run betas, short-run betas, risk premia, business cycles, component GARCH model, MIDAS

Prediction intervals in conditionally heteroscedastic time series with stochastic components,
Santiago Pellegrini, Esther Ruiz and Antoni Espasa, in International Journal of Forecasting (2011)
Keywords: ARIMA-GARCH models Local level model Nonlinear time series State space models Unobserved component models

Prediction intervals in conditionally heteroscedastic time series with stochastic components,
Santiago Pellegrini, Esther Ruiz and Antoni Espasa, in International Journal of Forecasting (2011)
Keywords: ARIMA-GARCH models; Local level model; Nonlinear time series; State space models; Unobserved component models;

Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach,
Lorenzo Pozzi, from Tinbergen Institute (2007)
Keywords: Labour income uncertainty; consumption; precaution; state space models; GARCH errors; unobserved component; Bayesian

Option Valuation with Long-run and Short-run Volatility Components,
Peter Christoffersen, Kris Jacobs and Yintian Wang, from CIRANO (2004)
Keywords: option valuation, long-run component, short-run component, unobserved components, persistence, GARCH, out-of-sample, évaluation d'option, composante long terme, composante court terme, composantes non observables, persistance, GARCH, hors échantillon

Behavior of volatility persistence in 10-year sovereign bond yields of India and China: evidence from component-GARCH model of Engle and Lee (1999),
Shariq Ahmad Bhat and Qaiser Dar, in DECISION: Official Journal of the Indian Institute of Management Calcutta (2019)
Keywords: Volatility persistence, Sovereign bond yields, India and China, Permanent and transitory components

Risk premia in the term structure of crude oil futures: long-run and short-run volatility components,
Naomi Boyd, Bingxin Li and Rui Liu, in Review of Quantitative Finance and Accounting (2022)
Keywords: Commodity futures, Term structure models, Volatility components, Long-run and short-run, GARCH, Futures risk premium

Component Proponents,
Christophe Villa and Christophe Perignon, from HAL (2002)
Keywords: component proponents

Hierarchical GARCH,
Christian Brownlees, in Journal of Empirical Finance (2019)
Keywords: Panel GARCH; Nonlinear panel; Random effects; Volatility;

Extremal Correlation for GARCH Data,
Carmela Quintos, from Econometric Society (2004)
Keywords: GARCH, Extreme Value Theory

Multivariate GARCH models,
Annastiina Silvennoinen and Timo Teräsvirta, from Department of Economics and Business Economics, Aarhus University (2008)
Keywords: Multivariate GARCH, Volatility

Glossary to ARCH (GARCH),
Tim Bollerslev, from Department of Economics and Business Economics, Aarhus University (2008)
Keywords: (G)ARCH, Volatility models

Temporal aggregation of GARCH processes,
Feike C. Drost and Theo Nijman, from Tilburg University, Center for Economic Research (1992)
Keywords: GARCH Models; econometrics

Temporal aggregation of GARCH processes,
Feike C. Drost and Theo Nijman, from Tilburg University, Center for Economic Research (1990)
Keywords: GARCH Models; econometrics

Aggregation and marginalization of GARCH processes: some further results,
Giacomo Sbrana, in METRON (2012)
Keywords: Aggregation, GARCH,

A simple efficient GMM estimator of GARCH models,
Jimmy Skoglund, from Stockholm School of Economics (2001)
Keywords: GARCH; GARCH-M; efficient GMM

Diffusion Limits of Real-Time GARCH,
Yashuang Ding, from Faculty of Economics, University of Cambridge (2020)
Keywords: GARCH, RT-GARCH, SV, diffusion limit

Component Proponents II,
Christophe Villa and Christophe Perignon, from HAL (2004)
Keywords: component proponents

Dynamic conditional eigenvalue GARCH,
Simon Hetland, Rasmus Søndergaard Pedersen and Anders Rahbek, in Journal of Econometrics (2023)
Keywords: Multivariate GARCH; GO-GARCH; Reduced rank; Asymptotic theory;

An introduction to univariate GARCH models,
Timo Teräsvirta, from Stockholm School of Economics (2006)
Keywords: ARCH; conditional heteroskedasticity; GARCH; nonlinear GARCH; volatility modelling

Dynamic Conditional Eigenvalue GARCH,
Simon Hetland, Rasmus Søndergaard Pedersen and Anders Rahbek, from University of Copenhagen. Department of Economics (2019)
Keywords: Multivariate GARCH; GO-GARCH; Reduced Rank; Asymptotic Theory

Sensitivity Analysis of GARCH Models,
Vladimiro Ceci,, Simone Manganelli and Walter Vecchiato, from Society for Computational Economics (2002)
Keywords: GARCH, Sensitivity Analysis, Dynamic Correlations

Multivariate GARCH models and their Estimation,
Luc Bauwens, Sébastien Laurent, J.P. Peters and Jeroen Rombouts, from Society for Computational Economics (2002)
Keywords: Financial Econometrics, Multivariate GARCH models,

Regime switching GARCH models,
Luc Bauwens, Arie Preminger and Jeroen Rombouts, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
Keywords: GARCH, regime switching, Bayesian inference.

Multimodality in the GARCH Regression Model,
Jurgen Doornik and Marius Ooms, from Economics Group, Nuffield College, University of Oxford (2003)
Keywords: Dummy variable, EGARCH, GARCH, Multimodality.

Regime switching GARCH models,
Luc Bauwens, Preminger Arie and Jeroen Rombouts, from Université catholique de Louvain, Département des Sciences Economiques (2006)
Keywords: GARCH; regime switching; Bayesian inference

Regime switching GARCH models,
Luc Bauwens, Arie Preminger and Jeroen Rombouts, from HEC Montréal, Institut d'économie appliquée (2006)
Keywords: GARCH, regime switching, Bayesian inference.

Multivariate GARCH models,
Annastiina Silvennoinen and Timo Teräsvirta, from Stockholm School of Economics (2008)
Keywords: autoregressive conditional heteroskedasticity; modelling volatility; nonlinear GARCH; nonparametric GARCH; semiparametric GARCH;

GARCH Option Valuation: Theory and Evidence,
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: GARCH, option valuation.

The Mean Variance Mixing GARCH (1,1) model,
Lars Forsberg and Anders Eriksson, from Econometric Society (2004)
Keywords: GARCH Skewness Conditional Skewness

Structural GARCH: The Volatility-Leverage Connection,
Robert Engle and Emil Siriwardane, from Office of Financial Research, US Department of the Treasury (2014)
Keywords: Structural GARCH, Volatility, Leverage

Efficient Estimation in Semiparametric GARCH Models,
Feike C. Drost and C.A.J. Klaassen, from Tilburg University, Center for Economic Research (1996)
Keywords: garch models; estimation

Noising the GARCH volatility: A random coefficient GARCH model,
Abdelhakim Aknouche, Bader Almohaimeed and Stefanos Dimitrakopoulos, from University Library of Munich, Germany (2024)
Keywords: Noised volatility GARCH, Randon coefficient GARCH, Markov switching GARCH, QMLE, Weighted least squares, filtering volatility, time-varying conditional kurtosis.

Improving GARCH volatility forecasts with regime-switching GARCH,
Franc Klaassen, in Empirical Economics (2002)
Keywords: GARCH, Markov-switching, variance, forecasting, exchange rates

Further Monte Carlo results on tests of GARCH against STGARCH models,
Gilles Dufrénot, Vêlayoudom Marimoutou and Anne Peguin-Feissolle, from HAL (2003)
Keywords: GARCH,STGARCH

Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns,
Genaro Sucarrat, from Universidad Carlos III de Madrid. Departamento de Economía (2013)
Keywords: Exponential GARCH

MVGARCHTOVECH: RATS procedure to extract a VECH representation from GARCH estimates,
Tom Doan, from Boston College Department of Economics
Keywords: ARCH-GARCH

RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects,
Tom Doan, from Boston College Department of Economics
Keywords: ARCH-GARCH

Volatility in frontier markets: a Multivariate GARCH analysis,
Neha Seth and Monica Singhania, in Journal of Advances in Management Research (2018)
Keywords: DCC–GARCH, BEKK–GARCH, Frontier markets, Multivariate GARCH

The Log-GARCH Model via ARMA Representations,
Genaro Sucarrat, from University Library of Munich, Germany (2018)
Keywords: Financial return, volatility, ARCH, exponential GARCH, log-GARCH, Multivariate GARCH

The Management of Component-Based Software Development,
Julia Kotlarsky and Ilan Oshri, from Palgrave Macmillan (2009)
Keywords: Software Component, Reusable Component, Global Team, Business Component, Component Market

Macroeconomic Forecasting with Independent Component Analysis,
Ruey Yau, from Econometric Society (2004)
Keywords: forecast, independent components, principal components

Modeling Gold Volatility: Realized GARCH Approach,
Esmaiel Abounoori and Mohammad Amin Zabol, in Iranian Economic Review (IER) (2020)
Keywords: Realized GARCH, Gold, GARCH Models, Volatility.

Estimation of temporally aggregated multivariate GARCH models,
Christian Hafner and J.V.K. Rombouts, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004)
Keywords: multivariate GARCH, temporal aggregation, weak GARCH

Estimation of temporally aggregated multivariate GARCH models,
Christian Hafner and Jeroen Rombouts, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
Keywords: multivariate GARCH, temporal aggregation, weak GARCH

Modelos ortogonais para a estimativa multivariada de VAR (Value-at-risk) para risco de mercado: um estudo de caso comparativo,
João Luiz Chela, Jean Carlos Abrahão and Luiz Fernando Ohara Kamogawa, in Revista de Economia Mackenzie (REM) (2011)
Keywords: Principal components; GARCH; EWMA.

Parameter changes in GARCH model,
Kosei Fukuda, in Journal of Applied Statistics (2010)
Keywords: GARCH(1,1), information criterion, model selection, parameter change,

A new hyperbolic GARCH model,
Muyi Li, Wai Keung Li and Guodong Li, in Journal of Econometrics (2015)
Keywords: ARCH(∞); Hyperbolic GARCH; Long-range dependence; QMLE;

Multimodality and the GARCH Likelihood,
Jurgen A. Doornik and Marius Ooms, from Society for Computational Economics (2001)
Keywords: GARCH, EGARCH, multimodality, dummy variable, parameter space

Semiparametric multivariate GARCH models,
Christian Hafner and Jeroen Rombouts, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
Keywords: multivariate GARCH models, semiparametric methods, efficient estimation

Real-Time GARCH,
Ekaterina Smetanina, in Journal of Financial Econometrics (2017)
Keywords: forecasting, GARCH models, high-frequency data

Multivariate GARCH models: a survey,
Luc Bauwens, Sébastien Laurent and Jeroen Rombouts, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
Keywords: volatility, multivariate GARCH models, financial econometrics

Consistent Estimation for Aggregated GARCH,
Ivana Komunjer, from Department of Economics, UC San Diego (2001)
Keywords: aggregation, GARCH, estimation, quasi-maximum likelihood, consistency

Improving Garch Volatility Forecasts,
Franc Klaassen, from Tilburg University, Center for Economic Research (1998)
Keywords: GARCH; regime-switching; volatility; forecasting; exchange rates