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Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns

Citations

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Cited by:

  1. Janus, Paweł & Koopman, Siem Jan & Lucas, André, 2014. "Long memory dynamics for multivariate dependence under heavy tails," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 187-206.
  2. Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
  3. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
  4. Avdoulas, Christos & Bekiros, Stelios & Boubaker, Sabri, 2016. "Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach," Economic Modelling, Elsevier, vol. 58(C), pages 580-587.
  5. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
  6. Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
  7. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2016. "A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
  8. Boland, John, 2015. "Spatial-temporal forecasting of solar radiation," Renewable Energy, Elsevier, vol. 75(C), pages 607-616.
  9. Jun Yu & Renate Meyer, 2006. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 361-384.
  10. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 327-340.
  11. Elie Bouri & Mahamitra Das & Rangan Gupta & David Roubaud, 2018. "Spillovers between Bitcoin and other assets during bear and bull markets," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5935-5949, November.
  12. Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
  13. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
  14. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
  15. Zexuan Yin & Paolo Barucca, 2022. "Neural Generalised AutoRegressive Conditional Heteroskedasticity," Papers 2202.11285, arXiv.org.
  16. Lukanima, Benedicto Kulwizira & Sanchez-Barrios, Luis Javier & Gómez-Bravo, Yuli Paola, 2024. "Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 478-497.
  17. Vo, Minh, 2011. "Oil and stock market volatility: A multivariate stochastic volatility perspective," Energy Economics, Elsevier, vol. 33(5), pages 956-965, September.
  18. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.
  19. Ding, Liang & Vo, Minh, 2012. "Exchange rates and oil prices: A multivariate stochastic volatility analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 15-37.
  20. Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2016. "Athen's game of chicken or the conditional dependence between the Greek banks," International Journal of Economics and Accounting, Inderscience Enterprises Ltd, vol. 7(1), pages 1-26.
  21. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  22. Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
  23. Christodoulakis, George A., 2007. "Common volatility and correlation clustering in asset returns," European Journal of Operational Research, Elsevier, vol. 182(3), pages 1263-1284, November.
  24. Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.
  25. repec:ipg:wpaper:2014-053 is not listed on IDEAS
  26. Annina Kaltenbrunner, 2018. "Financialised internationalisation and structural hierarchies: a mixed-method study of exchange rate determination in emerging economies," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 42(5), pages 1315-1341.
  27. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  28. Zexuan Yin & Paolo Barucca, 2022. "Variational Heteroscedastic Volatility Model," Papers 2204.05806, arXiv.org.
  29. Acatrinei, Marius & Gorun, Adrian & Marcu, Nicu, 2013. "A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 136-148, March.
  30. Kai Dong & Ching-Ter Chang & Shaonan Wang & Xiaoxi Liu, 2021. "The Dynamic Correlation among Financial Leverage, House Price, and Consumer Expenditure in China," Sustainability, MDPI, vol. 13(5), pages 1-18, March.
  31. Toan Luu Duc Huynh, 2019. "Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas," JRFM, MDPI, vol. 12(2), pages 1-19, April.
  32. Johansson, Anders C., 2008. "Interdependencies among Asian bond markets," Journal of Asian Economics, Elsevier, vol. 19(2), pages 101-116, April.
  33. Majdoub, Jihed & Mansour, Walid, 2014. "Islamic equity market integration and volatility spillover between emerging and US stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 452-470.
  34. Guglielmo Maria Caporale & Stavroula Yfanti & Menelaos Karanasos & Jiaying Wu, 2024. "Financial integration and European tourism stocks," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 21, pages 495-538, Edward Elgar Publishing.
  35. Zouheir Mighri & Faysal Mansouri, 2013. "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 637-661.
  36. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, vol. 236(1), pages 282-291.
  37. Caio Mário Mesquita & Cristiano Arbex Valle & Adriano César Machado Pereira, 2024. "Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 63(5), pages 1879-1919, May.
  38. Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper series 21_13, Rimini Centre for Economic Analysis.
  39. Honghai Yu & Libing Fang & Boyang Sun, 2018. "The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil," PLOS ONE, Public Library of Science, vol. 13(2), pages 1-17, February.
  40. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  41. Jos� A. Fioruci & Ricardo S. Ehlers & Marinho G. Andrade Filho, 2014. "Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(2), pages 320-331, February.
  42. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
  43. Bekiros, Stelios D., 2014. "Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 58-69.
  44. Kosater, Peter, 2006. "Cross-city hedging with weather derivatives using bivariate DCC GARCH models," Discussion Papers in Econometrics and Statistics 2/06, University of Cologne, Institute of Econometrics and Statistics.
  45. Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
  46. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2014. "On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 26-40.
  47. Harris, Richard D.F. & Mazibas, Murat, 2010. "Dynamic hedge fund portfolio construction," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 351-357, December.
  48. Gębka, Bartosz & Karoglou, Michail, 2013. "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3639-3653.
  49. Yfanti, Stavroula & Karanasos, Menelaos & Zopounidis, Constantin & Christopoulos, Apostolos, 2023. "Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics," European Journal of Operational Research, Elsevier, vol. 304(2), pages 813-831.
  50. Kazım Berk Küçüklerli & Veysel Ulusoy, 2023. "The time-varying correlation between popular narratives and TRY/USD FX rate: Evidence from a DCC-GARCH model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(4), pages 1-3.
  51. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
  52. Maghyereh, Aktham I. & Awartani, Basel & Tziogkidis, Panagiotis, 2017. "Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries," Energy Economics, Elsevier, vol. 68(C), pages 440-453.
  53. Lin, Kuan-Pin & Menkveld, Albert J. & Yang, Zhishu, 2009. "Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years," China Economic Review, Elsevier, vol. 20(1), pages 29-45, March.
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