How Information Is Transmitted Across the Nations? An Empirical Investigation of the US and Chinese Commodity Markets

GARCH Model With Fat-Tailed Distributions and Bitcoin Exchange Rate Returns

“…In this paper, we only consider the single Bitcoin market. It would be interesting to investigate the inter-connections between the Bitcoin market with some other markets using the GARCH framework as in Guo (2017c). We hope that will be another contribution to the literature on Bitcoin.…”

Empirical Performance of GARCH Models with Heavy-Tailed Innovations

“…First, some other market index in addition to the S&P 500 index and some other types of financial assets, for instance commodities as in Guo (2017aGuo ( , 2017b, may be studied. Second, the paper only considers asymmetric response of conditional volatilities to negative and positive shocks as in Glosten, Jagannathan and Runkle (1993).…”

Heavy-Tailed Distributions and the Canadian Stock Market Returns

“…Second, one may introduce the heavy-tailed distributions to the generalized autoregressive conditional heteroskedasticity (GARCH) framework as in Guo (2017bGuo ( , 2017c and study their implications in financial risk management, and the extension would be similar as the studies in Day and Diamond (2017), Maree (2017) and Maree, Carr and Howard (2017). Finally, one might consider a portfolio with multiple assets and consider risk management of heavy tails across assets in a multivariate GARCH framework as in Karolyi (2012) and Guo (2017d). As in Guo (2017d), to capture the tail risks across assets, one has to rely on the copula approach.…”

“…Finally, one might consider a portfolio with multiple assets and consider risk management of heavy tails across assets in a multivariate GARCH framework as in Karolyi (2012) and Guo (2017d). As in Guo (2017d), to capture the tail risks across assets, one has to rely on the copula approach. However, the Skewed t distribution with copula still project better risk measures, at least for the case of two assets.…”