The VAR(0)_DLPETR4_DLIBOV.fl is a batch programme in Ox to estimate a VAR(0) for DLPETR4_Per and DLIBOV_Per. The EWMA-Multivariado.fl is a batch programme in Ox to ...

1 Department of Economics, Management and Statistics, University of Milan-Bicocca, Milan, Italy. 2 Center for Research on Pensions and Welfare Policies, Collegio Carlo Alberto, Moncalieri, Italy. 3 ...

High-frequency financial return time series data have stylized facts such as the long-range dependence, fat-tails, asymmetric dependence, and volatility clustering. In this paper, a multivariate model ...

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 ...

This paper proposes a multivariate VAR-BEKK-GJR-GARCH volatility model to assess the dynamic interdependence among stock, bond and money market returns and volatility of returns. The proposed model ...

\item{mode}{A single character string for the type of model (Only regression is supported).} \item{type}{A single character string for the type of model or specification (See details below). Other ...

Abstract: Data that house topological information is manifested as relationships between multiple variables via a graph formulation. Various methods have been developed for analyzing time series on ...

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 ...