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

DOI10.1016/J.MATCOM.2011.04.003MaRDI QIDQ554615zbMATH OpenOpenAlexFDO

Authors 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

spillover effectswavelet analysisfinancial riskBEKK-GARCH modelmulti-resolution decomposition

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 52869 (Why is no real title available?)
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• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
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• A stochastic nonlinear regression estimator using wavelets
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• An introduction to wavelets and other filtering methods in finance and economics
• Asymptotic theory for a vector ARMA-GARCH model
• Asymptotic theory for multivariate GARCH processes.
• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
• Multivariate Stochastic Volatility: An Overview
• Scaling properties of foreign exchange volatility
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• Systematic risk and timescales
• Ten Lectures on Wavelets
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
• The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
• Wavelet analysis of commodity price behavior

Cited in

(6)

• Capturing the spillover effect with multiplicative error models
• A multivariate GARCH model incorporating the direct and indirect transmission of shocks
• 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
• Study on spillover effect of copper futures between LME and SHFE using wavelet multiresolution analysis
• Time-frequency information transmission among financial markets: evidence from implied volatility

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• wmtsa

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