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

DOI10.1016/J.MATCOM.2011.04.003zbMath1218.91172OpenAlexW2070113133MaRDI QIDQ554615

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

zbMATH Keywords

wavelet analysisfinancial riskspillover effectsBEKK-GARCH modelmulti-resolution decomposition

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)

Related Items (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

Cites Work

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• Multivariate Stochastic Volatility: An Overview
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