Herein, we propose a novel hybrid method for forecasting steel prices by modeling nonlinearity and time variations together to enhance adaptability. The multivariate empirical mode decomposition (MEMD)–ensemble-EMD (EEMD) approach was employed preprocessing separate the nonlinear variation components of hot-rolled coil (HRC) price return series, particle swarm optimization (PSO)-based least squ...

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market returns, it is ...

98. Nelson DB (1990) Stationarity and persistence in the GARCH(1,1) model. Econom Theory 6:318–334 99. Nelson DB (1991) Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59:347–370 100. Nelson DB, Cao CQ (1992) Inequality constraints in the univariate garchmodel. J Bus Econ Stat 10:229–235 101. Newey WK, Steigerwald DS (1997) Asymptotic bias for quasi maximum likelih...

Predicting the “Value at Risk” of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, “dynamical products of experts” that treats the latent process over volatilities as an inverse Gamma process. We show that our multivariate volatility models significantly outperform all related Garch and stochastic volatility models which are in popular use...

The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. Estimations and forecasts of the covariance matrix are made for the EUR/SEK and USD/SEK, whereby the forecasts are used in a pract...

Purpose: The study aims to examine the transmission of spillover effects from global stock markets Indian market. chosen are CAC-40, DJIA, FTSE 100, SMI, KOSPI, DAX, HANG SENG, and NIKKEI with respect S&P BSE SENSEX.
 Design/Methodology/Approach: uses secondary data. period is 1st January 2000 4th June 2021. required data for has been collected Thomson Reuters database. Later tested st...

This paper examines the effects of inflation and currency substitution volatility on the average rates of inflation and currency substitution for twelve emerging market economies. Using a bivariate GARCH-in-Mean model, which accommodates for asymmetric and spillover effects of inflation and currency substitution innovations on their volatilities, we find that for the majority of the countries i...