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Caporin, Massimiliano ; Chang, Chia-Lin ; McAleer, Michael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2016-02The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the[...]texto impreso
Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view [...]texto impreso
Caporin, Massimiliano ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of dime[...]texto impreso
Asai, Manabu ; Caporin, Massimiliano ; McAleer, Michael | 2012-03Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Rece[...]texto impreso
Caporin, Massimiliano ; McAleer, Michael | 2011-05In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an em[...]texto impreso
Caporin, Massimiliano ; McAleer, Michael | 2012-04During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an empirical com[...]texto impreso
Caporin, Massimiliano ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02Modeling volatility, or “predictable changes” over time and space in a variable, is crucial in the natural and social sciences. Life can be volatile, and anything that matters, and which changes over time and space, involves volatility. Without [...]texto impreso
Caporin, Massimiliano ; McAleer, Michael | 2013-03The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given fo[...]texto impreso
Caporin, Massimiliano ; McAleer, Michael | 2013-06The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given fo[...]
