We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
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