Forecasting the daily time - varying beta of European Banks during the crisis period: comparison between GARCH models and the Kalman Filter.
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DOI: 10.1002/for.2442
Abstract: This intention of this paper is to empirically forecast the daily betas of a few European banks by means of four generalized autoregressive conditional heteroscedasticity (GARCH) models and the Kalman filter method during the pre-global… read more here.
Keywords: crisis; kalman filter; garch; crisis period ... See more keywords
Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
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DOI: 10.1002/for.2648
Abstract: This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y ιlmaz (Journal… read more here.
Keywords: impulse response; volatility impulse; volatility; analysis ... See more keywords
On the computation of hedging strategies in affine GARCH models
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DOI: 10.1002/fut.22187
Abstract: This paper discusses the computation of hedging strategies under affine Gaussian GARCH dynamics. The risk-minimization hedging strategy is derived in closed-form and related to minimum variance delta hedging. Several numerical experiments are conducted to investigate… read more here.
Keywords: garch; hedging strategies; strategies affine; computation hedging ... See more keywords
Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator
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DOI: 10.1016/j.econlet.2017.11.003
Abstract: The maximum entropy test, as designed for examining goodness-of-fit with a non-robust estimator such as the maximum likelihood estimator, can suffer from severe size distortions when the data are contaminated by outliers. The objective of… read more here.
Keywords: maximum entropy; estimator; entropy test; test ... See more keywords
Kurtosis analysis in GARCH models with Gram–Charlier-like innovations
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DOI: 10.1016/j.econlet.2019.108552
Abstract: Abstract The approach based on polynomially-modified distributions, known as Gram–Charlier-like (GCl) expansions, has been proven effective to account for both excess kurtosis and skewness of financial data. In this paper, we examine GARCH models with… read more here.
Keywords: charlier like; kurtosis analysis; gram charlier; garch ... See more keywords
Ordinal-response GARCH models for transaction data: A forecasting exercise
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DOI: 10.1016/j.ijforecast.2019.02.016
Abstract: We use numerous high-frequency transaction data sets to evaluate the forecasting performances of several dynamic ordinal-response time series models with generalized autoregressive conditional heteroscedasticity (GARCH). The specifications account for three components: leverage effects, in-mean effects… read more here.
Keywords: response; transaction data; response garch; garch models ... See more keywords
On change point test for ARMA–GARCH models: Bootstrap approach
Sign Up to like & getrecommendations! Published in 2018 at "Journal of The Korean Statistical Society"
DOI: 10.1016/j.jkss.2017.11.001
Abstract: Abstract The problem of testing for a parameter change has been a core issue in time series analysis. It is well known that the estimates-based CUSUM test often suffers from severe size distortions in general… read more here.
Keywords: test arma; change; arma garch; test ... See more keywords
Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
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DOI: 10.1017/jpr.2023.13
Abstract: We establish new results on the strictly stationary solution to an iterated function system. When the driving sequence is stationary and ergodic, though not independent, the strictly stationary solution may admit no moment but we… read more here.
Keywords: control trajectories; garch models; iterated function; exponential control ... See more keywords
Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
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DOI: 10.1080/00949655.2017.1334778
Abstract: ABSTRACT We propose a state-space approach for GARCH models with time-varying parameters able to deal with non-stationarity that is usually observed in a wide variety of time series. The parameters of the non-stationary model are… read more here.
Keywords: methodology; state space; time varying; time ... See more keywords
Assessing the effectiveness of local and global quadratic hedging under GARCH models
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DOI: 10.1080/14697688.2017.1279342
Abstract: Local and global quadratic hedging are alternatives to delta hedging that more appropriately address the hedging problem in incomplete markets. The objective of this article is to investigate and contrast the effectiveness of these strategies… read more here.
Keywords: assessing effectiveness; global quadratic; quadratic hedging; hedging ... See more keywords
Functional ARCH and GARCH models: A Yule-Walker approach
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DOI: 10.1214/20-ejs1778
Abstract: Conditional heteroskedastic financial time series are commonly modelled by (G)ARCH processes. ARCH$(1)$ and GARCH were recently established in $C[0,1]$ and $L^{2}[0,1]$. This article provides sufficient conditions for the existence of strictly stationary solutions, weak dependence… read more here.
Keywords: yule walker; arch; arch garch; functional arch ... See more keywords