Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 23 for “"Multivariate GARCH"”.
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A multivariate GARCH model for the non-normal behaviour of financial assets
… returns supposed to follow an asymmetric multivariate Laplace (AML) distribution as presented in Kotz, Kozubowsky and Podgorski (2003). We prove that maximum likelihood estimator provides optimal estimates of the relevant parameters estimated. We show the applicability of our approach in a …
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Contributions to Conditional Heteroscedastic Models: M-Estimation and Other Methods.
… autoregressive conditional heteroscedastic (GARCH) models estimated by M-estimators are derived. Diagnostic tests based on M-estimators are developed to check the adequacy of GARCH-type models. The performance of M-estimators in the estimation and prediction of value-at-risk (VaR) is …
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Improving Market Risk Management with Heuristic Algorithms
… with a simulation-based approach using a multivariate GARCH process. The optimisation is performed using the Population-Based Incremental Learning (PBIL) algorithm. We find that the parametric and empirical distribution assumption generate similar results and neither of them clearly …
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Impacts of Volatility Spillovers, Economic Volatility and Capital Inflows on Mortgage-backed Financial Markets
… of time-varying symmetric, asymmetric and multivariate GARCH-family models. The focus of the chapter is on the dynamics of volatility of the U.S. real estate investment trusts (REITs) and volatility spillovers within the REITs subdivisions as well as between the REITs and the Fannie Mae …
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Daily and intradaily stochastic covariance : value at risk estimates for the foreign exchange market
… varying volatility in securities prices (e.g. GARCH) has by now been amply established in the literature, both in terms of the magnitude and pervasiveness of the phenomenon, and in terms of its significance for risk management in institutional portfolios. Less attention has been devoted to …
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Refining Value-at-Risk estimates: An Extreme Value Theory Approach
… approaches to Value-at-Risk estimation using (1) Multivariate GARCH Dynamic Conditional Correlation volatility model with skewed Student’s-t distributions, (2) Bayesian GARCH model with Student’s-t distribution, and (3) Bayesian Markov-Switching GJR-GARCH model with skewed Student’s-t …
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Volatility Modeling Using the Student's t Distribution
… has produced a wealth of univariate and multivariate GARCH type models. While the univariate models have been relatively successful in empirical studies, they suffer from a number ofweaknesses, such as unverifiable parameter restrictions, existence of moment conditions and the retention …
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Modelling and valuing multivariate interdependencies in financial time series
… portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk …
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A new approach to calculate and forecast dynamic conditional correlation - the use of a multivariate heteroskedastic mixture model
… (conditional returns) can be modelled using multivariate Gaussian mixture distribution and multivariate T mixture distribution. A key motivation of proposing mixture models is to account for the bi-modality observed in unconditional distribution of realized correlation. Besides, the ultimate …
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Mean and Volatility Spillovers in Emission Allowance and Fuel Returns
… data for coal. This paper uses univariate and multivariate GARCH modeling procedures and finds, among other results, evidence that changes in the price SO2 allowances effect changes in the price of coal and natural gas.
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Mean and Volatility Spillovers in Emission Allowance and Fuel Returns
… data for coal. This paper uses univariate and multivariate GARCH modeling procedures and finds, among other results, evidence that changes in the price SO2 allowances effect changes in the price of coal and natural gas.
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Three Essays on International Financial Market Linkages
… and macroeconomic risk factors, we employ VAR-GARCH-in-mean models. The results show that the currency risk premium may be due to macroeconomic volatility. The second issue (Chapter 3) concerns the causal linkages between monetary and financial market returns of the New Member States (NMS) with …
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Transmission of credit risk in Asia
… institutions and non-financial firms via a multivariate GARCH model; thus, spillovers in mean spreads as well as the volatility of spreads are considered. This analysis is then extended in a number of ways. Credit risk transmission is split to four groups: (i) domestic intra-sectoral, (ii) …
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Higher moment models for risk and portfolio management
… extensions to the dynamics of the popular GARCH model, to capture time variation in higher moments, are considered in the univariate and multivariate context, with a special focus on the Generalized Hyperbolic distribution. In Chapter 1, I consider the extension of univariate GARCH …
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Essays on economic value of intraday covariation estimators for risk prediction
… based single index (univariate) and portfolio (multivariate) models through the lens of Value-at-Risk (VaR) forecasting. VaR pre-dictions are generated from standard daily univariate or multivariate GARCH models, as well as GARCH models extended with ARFIMA forecasted realized measures. …
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Essays on the economic value of intraday covariation estimators for risk prediction
… based single index (univariate) and portfolio (multivariate) models through the lens of Value-at-Risk (VaR) forecasting. VaR predictions are generated from standard daily univariate or multivariate GARCH models, as well as GARCH models extended with ARFIMA forecasted realized measures. …
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Portfolio risk analysis : conditional estimates of value-at-risk and international volatility spillovers
… not inferior to those based on the more advanced multivariate GARCH volatility estimates. Furthermore, in this thesis we proposed a VaR methodology which overcomes many limitations of the above and other VaR models, i.e. dimentionality and stability of the correlation matrix, and unlike them does …
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Modelling financial volatility using Bayesian and conventional methods
… results, the extend SV model outperforms the GARCH and GARCH augmented with duration information. Chapter 2: We examine contagion effects resulting from the US subprime crisis on a sample of EU countries (UK, Switzerland, Netherlands, Germany and France) using a Multivariate Stochastic …
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Modelling the Dynamics of Credit Spreads of European Corporate Bond Indices
… shifts in credit spread changes by applying a GARCH-type model that allows for time-varying volatility, skewness and kurtosis, as well as a Markov regime-switching GARCH specification to capture the structural changes in the volatility of credit spreads. Furthermore, a comparison of the …
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Transition equity markets of Central Europe: volatility, predictability, integration
… Three focuses on the modelling of univariate and multivariate volatility in transition equity markets. Our sample has all the previously documented characteristics of the unconditional distribution of stock returns normally used to justify the use of the GARCH class of the models of conditional …
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