Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied …

Multivariate GARCH models: a survey - Bauwens - 2006 - Journal of Applied Econometrics -
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …

This paper examines the relationship between the Japanese Yen and the country's stock
returns. Using several variants of econometric models and empirical specifications, we …

Uncovering the tail risk spillover among global financial markets helps provide a more
comprehensive understanding of the information transmission in extreme market conditions …

The paper investigates the proprieties of Bitcoin in the financial markets. Specifically, we
explore the conditional cross effects and volatility spillover between Bitcoin and financial …

This paper provides a note on commonality in volatility for five developed Asian economies,
namely Hong Kong, Japan, Russia, Singapore and South Korea. Additionally, we examine …

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being
below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord …

Written for those who need an introduction, Applied Time Series Analysis reviews
applications of the popular econometric analysis technique across disciplines. Carefully …

This paper investigates the relationship between intermittent wind power generation and
electricity price behaviour in Germany. Using a GARCH model, I evaluate the effect of wind …

We find support for a negative relation between conditional expected monthly return and
conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) …