Jun 24, 2024 · In the investment experiment of the empirical study, we demonstrate that the GC-GARCH model produces more precise conditional value-at-risk prediction and ...

Jun 25, 2024 · (Guesmi et al., Citation2019) examine the conditional cross effects and volatility spillover between financial assets and bitcoin using DCC-GARCH models.

6 days ago · This study uses quantile vector-autoregressive to examine volatility connectedness among a global financial stress index (including five categories: credit, ...

8 days ago · The paper examines the viability of MINT countries as diversification options by analyzing volatility spillovers and DCC-GARCH models to understand the ...

Jun 28, 2024 · Abstract. Vector AutoRegressive Moving Average (VARMA) models form a powerful and general model class for analyzing dynamics among multiple time series.

Jun 28, 2024 · A univariate autoregression is a single-equation, single-variable linear model in which the cur- rent value of a variable is explained by its own lagged values.

Jun 9, 2024 · The advantage of the ARMA-GARCH-type model is that the combination of the two models can fully exploit each other's strengths and compensate for each other's ...

Jun 19, 2024 · This paper employs the TVP-VAR-DY model, selects indices from the real sectors to construct a risk spillover index for the real economy, and incorporates ...

Jun 23, 2024 · Abstract The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. By incorporating Hurst parameter ...

Jun 28, 2024 · PDF | In this paper, we have studied option pricing methods that are based on a Bayesian Markov-Switching Vector Autoregressive (MS-BVAR) process using.