Wavelet-based multi-resolution GARCH model for financial spillover effects

DOI10.1016/j.matcom.2011.04.003zbMath1218.91172MaRDI QIDQ554615

Shian-Chang Huang

Publication date: 4 August 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2011.04.003

zbMATH Keywords

wavelet analysis; financial risk; spillover effects; BEKK-GARCH model; multi-resolution decomposition

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

62M15: Inference from stochastic processes and spectral analysis

Related Items

Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment, Analysis of shares frequency components on daily value-at-risk in emerging and developed markets

Uses Software

• wmtsa

Cites Work

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• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
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