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

DOI10.1016/J.MATCOM.2011.04.003zbMATH Open1218.91172OpenAlexW2070113133MaRDI QIDQ554615FDOQ554615

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

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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)

Cites Work

• Title not available (Why is that?)
• Asymptotic theory for multivariate GARCH processes.
• An introduction to wavelets and other filtering methods in finance and economics
• Title not available (Why is that?)
• Ten Lectures on Wavelets
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• Multivariate Stochastic Volatility: An Overview
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Systematic risk and timescales
• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
• A stochastic nonlinear regression estimator using wavelets
• Wavelet analysis of commodity price behavior
• Scaling properties of foreign exchange volatility
• 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
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (2)

• 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

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