This paper discusses the effects of temporal aggregation on causality and forecasting in multivariate GARCH processes. It is shown that spurious instantaneous causality in variance will only appear in ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...

This is a preview. Log in through your library . Abstract Previous research indicates that the price-output correlation is time varying. This paper therefore estimates a vector autoregression (VAR) ...

This course is available on the MSc in Applicable Mathematics, MSc in Data Science, MSc in Econometrics and Mathematical Economics, MSc in Financial Mathematics, MSc in Marketing, MSc in Operations ...