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 ...

The issue of finite-sample inference in Generalised Autoregressive Conditional Heteroskedasticity (GARCH)-like models has seldom been explored in the theoretical literature, although its potential ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio ...