Results 1 to 10 of about 287 (128)

Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management [PDF]

Energies, 2018
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark.
David E Allen, Michael Mcaleer, Allen David E   +2 more
exaly   +9 more sources

BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series

Journal of Statistical Software, 2022
We describe the R package BEKKs, which implements the estimation and diagnostic analysis of a prominent family of multivariate generalized autoregressive conditionally heteroskedastic (MGARCH) processes, the so-called BEKK models.
Markus J. Fülle, Alexander Lange, Christian M. Hafner, Helmut Herwartz   +3 more
doaj   +6 more sources

A Study of the Machine Learning Approach and the MGARCH-BEKK Model in Volatility Transmission [PDF]

Journal of Risk and Financial Management, 2022
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets.
Prashant Joshi, Jinghua Wang, Michael Busler   +2 more
exaly   +3 more sources

Analyzing the impact of remittance, FDI and inflation rate on GDP: A comparative study of Bangladesh, Pakistan and Sri-Lanka using VAR and BEKK-GARCH approach

Heliyon
This study examines the impact, conditional correlation and volatility spillover effect of remittances, foreign direct investment and inflation rate on GDP in Bangladesh, Pakistan, and Sri-Lanka, three Asian nations that are particularly vulnerable ...
Md Jamal Hossain
exaly   +3 more sources

کارایی مدل‌های پویای اقتصادسنجی جهت پوشش ریسک متقاطع بازده سهام و قرارداد آتی سکه در بازار سرمایه تهران [PDF]

فصلنامه بورس اوراق بهادار, 2023
هدف از انجام مطالعه حاضر، بررسی کارایی مدل های پویای اقتصاد سنجی (BEKK-GARCH,CCC-GARCH) جهت پوشش ریسک متقاطع بازده سهام و قرارداد آتی سکه در بورس اوراق بهادار تهران با استفاده از داده‌های روزانه طی سال‌های 1392-1398 است. لذا محقق جهت تشخیص کارایی مدل های
صدف سلیمی, علی سعیدی, علیرضا حیدرزاده, قدرت الله امام وردی   +3 more
doaj   +1 more source

Multivariate Variance Targeting in the BEKK-GARCH Model [PDF]

SSRN Electronic Journal, 2012
This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de finition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi ed likelihood function, or estimating function, corresponding to these two steps.
Pedersen, Rasmus Søndergaard, Rahbek, Anders   +1 more
openaire   +4 more sources

Realized BEKK-CAW Models

Journal of Time Series Econometrics, 2022
Abstract Estimating time-varying conditional covariance matrices of financial returns play important role in portfolio analysis, risk management, and financial econometrics research. The availability of high-frequency financial data can provide an additional data source for dynamic covariance modeling. In this paper, we propose to use
Manabu Asai, Mike K. P. So
openaire   +3 more sources

Revealing asymmetric spillover effects in hazelnut, gasoline, and exchange rate markets in Turkey: The VECM-BEKK-MGARCH approach [PDF]

Panoeconomicus, 2022
The study used the VECM-BEKK-MGARCH method to model the volatility transmission between the markets of gasoline, exchange rates, and the hazelnut market for the period of 21.07.2005-20.3.2018.
Askan Emine, Urak Faruk, Bilgic Abdulbaki   +2 more
doaj   +1 more source

The Fiction of Full BEKK [PDF]

SSRN Electronic Journal, 2017
The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, provides the regularity conditions that arise from the underlying random coefficient ...
Chang, Chia-Lin, McAleer, Michael
openaire   +4 more sources

Multivariate Hyper-Rotated GARCH-BEKK

Journal of Time Series Econometrics, 2022
Abstract For large multivariate models of generalized autoregressive conditional heteroskedasticity (GARCH), it is important to reduce the number of parameters to cope with the ‘curse of dimensionality’. Recently, Laurent, Rombouts and Violante (2014 “Multivariate Rotated ARCH Models” Journal ...
Manabu Asai, Michael McAleer
openaire   +3 more sources