A Novel Multivariate Volatility Modeling for Risk Management in Stock Markets
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DOI: 10.1007/s40815-017-0298-x
Abstract: Volatility modeling is crucial for risk management and asset allocation; this is an influential area in financial econometrics. The central requirement of volatility modeling is to be able to forecast volatility accurately. The literature review… read more here.
Keywords: risk management; volatility; volatility modeling; multivariate volatility ... See more keywords
Bivariate Volatility Modeling with High-Frequency Data
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DOI: 10.3390/econometrics7030041
Abstract: We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural relationship between… read more here.
Keywords: high frequency; frequency data; volatility; night volatility ... See more keywords
Multivariate stochastic volatility modeling of neural data
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DOI: 10.7554/elife.42950
Abstract: Because multivariate autoregressive models have failed to adequately account for the complexity of neural signals, researchers have predominantly relied on non-parametric methods when studying the relations between brain and behavior. Using medial temporal lobe (MTL)… read more here.
Keywords: modeling neural; volatility modeling; volatility; stochastic volatility ... See more keywords