Image de couverture de livre

New approaches of the DCC-GARCH residual: Application to foreign exchange rates

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Shiraya, Kenichiro, Suzuki, Kanji, Yamakami, Tomohisa
Format:	Preprint
Publié:	2024
Sujets:	Statistical Finance
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Estimating the Hurst parameter from the zero vanna implied volatility and its dual
par: Alos, Elisa, et autres
Publié: (2025)

An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations
par: Holý, Vladimír
Publié: (2022)

Deterministic and stochastic influences on Japan and US stock and foreign exchange markets. A Fokker-Planck approach
par: Ivanova, K., et autres
Publié: (2003)

What events matter for exchange rate volatility ?
par: Martins, Igor, et autres
Publié: (2024)

A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks
par: Aouri, Atika, et autres
Publié: (2025)

From GARCH to Neural Network for Volatility Forecast
par: Zhao, Pengfei, et autres
Publié: (2024)

Data-Driven Risk Measurement by SV-GARCH-EVT Model
par: Xiao, Minheng
Publié: (2022)

Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH
par: Singh, Aryan, et autres
Publié: (2025)

Unified GARCH-Recurrent Neural Network in Financial Volatility Forecasting
par: Wei, Jingyi, et autres
Publié: (2025)

Financial Contagion: Detecting Non‐Simultaneous Breaks in DCC ‐ GARCH Models
par: Farah Mugrabi
Publié: (2025)

Bridging Econometrics and AI: VaR Estimation via Reinforcement Learning and GARCH Models
par: Pokou, Fredy, et autres
Publié: (2025)

Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models
par: Koch, Dennis, et autres
Publié: (2024)

Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
par: Caporin, Massimiliano, et autres
Publié: (2026)

A cost of capital approach to determining the LGD discount rate
par: Larney, Janette, et autres
Publié: (2025)

Analysis of market efficiency in main stock markets: using Karman-Filter as an approach
par: Liu, Beier, et autres
Publié: (2024)

A GMM approach to estimate the roughness of stochastic volatility
par: Bolko, Anine E., et autres
Publié: (2020)

Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
par: Lee, Kyungsub
Publié: (2024)

A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
par: Brini, Alessio, et autres
Publié: (2024)

Matrix H-theory approach to stock market fluctuations
par: de Moraes, Luan M. T., et autres
Publié: (2025)

Tuning into Climate Risks: Extracting Innovation from Television News for Clean Energy Firms
par: Ahmad, Wasim, et autres
Publié: (2024)

Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs
par: Tondapu, Narayan
Publié: (2024)

Joint News, Attention Spillover,and Stock Returns
par: Guo, Li, et autres
Publié: (2017)

Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets
par: Buchwalter, Bastien, et autres
Publié: (2025)

FNSPID: A Comprehensive Financial News Dataset in Time Series
par: Dong, Zihan, et autres
Publié: (2024)

Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach
par: Holtz, Bruno E., et autres
Publié: (2025)

Probabilistic forecasting with a hybrid Factor-QRA approach: Application to electricity trading
par: Maciejowska, Katarzyna, et autres
Publié: (2023)

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
par: Wu, Fan, et autres
Publié: (2026)

Ultimate Forward Rate Prediction and its Application to Bond Yield Forecasting: A Machine Learning Perspective
par: Du, Jiawei, et autres
Publié: (2025)

A three-step machine learning approach to predict market bubbles with financial news
par: Atsiwo, Abraham
Publié: (2025)

Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy
par: Holý, Vladimír, et autres
Publié: (2018)

Consistent Estimation of the High-Dimensional Efficient Frontier
par: Bodnar, Taras, et autres
Publié: (2024)

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime
par: Achitouv, Ixandra, et autres
Publié: (2024)

Detecting Structural breakpoints in natural gas and electricity wholesale prices via Bayesian ensemble approach, in the era of energy prices turmoil of 2022 period: the cases of ten European markets
par: Papaioannou, Panayotis G., et autres
Publié: (2024)

The LLM Pro Finance Suite: Multilingual Large Language Models for Financial Applications
par: Caillaut, Gaëtan, et autres
Publié: (2025)

CBDC Stress Test in a Dual-Currency Setting
par: Dumitrescu, Catalin
Publié: (2025)

The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models
par: Roszyk, Natalia, et autres
Publié: (2024)

Centered-Innovation MA for Bayesian Dirichlet ARMA: Theoretical Equivalence and an Application to Bank-Asset Shares
par: Katz, Harrison
Publié: (2025)

Volatility of Volatility and Leverage Effect from Options
par: Chong, Carsten H., et autres
Publié: (2023)

Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
par: Lee, Kyungsub
Publié: (2022)

Eigenvalue Distribution of Empirical Correlation Matrices for Multiscale Complex Systems and Application to Financial Data
par: de Moraes, Luan M. T., et autres
Publié: (2025)