Results 91 to 100 of about 6,108 (234)

Analysing the impacts of unscheduled news events on stock market contagion during the epidemic

International Journal of Finance &Economics, Volume 30, Issue 1, Page 590-601, January 2025.
Abstract This paper investigates the impact of unscheduled news announcements on market contagion during the COVID‐19 pandemic. Using coexceedance of stock returns as a metric for market contagion effect, we assess the contribution of news releases from the United States and China on the financial contagion of a representative group of global equity ...
Yi Zhang, Long Zhou, Baoxiu Wu, Fang Liu
wiley   +1 more source

Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation [PDF]

In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared inthe literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance.
Caporin, M., McAleer, M.J.
core   +3 more sources

Analysis of Staple Food Price Behaviour: Multivariate BEKK-GARCH Model

SSRN Electronic Journal, 2016
This study examines the behaviour of staple food price using Multivariate BEKK-GARCH Model. Understanding of staple food price behaviour is important for determining the unpredictability of staple food market and also for policy making. In this paper, we focus on the commodity prices of sugar, rice, soybean and wheat to examine the volatility behaviour
Kumara Jati, Gamini Premaratne
openaire   +1 more source

What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model

Journal of Risk and Financial Management, 2019
Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses.
M. McAleer
semanticscholar   +1 more source

Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets

Journal of Agricultural and Resource Economics, 2018
Linkages between agricultural commodity and energy prices have become more complex with increased ethanol production. The concern is whether the new cornÐethanol links lead to volatility spillover transmission between food and energy prices.
Sayed Saghaian, Mehdi Nemati, Cory Walters, Bo Chen   +3 more
doaj   +1 more source

Volatility spillover among the sectors of emerging and developed markets: a hedging perspective

Cogent Economics & Finance
This study empirically investigates the volatility spillover among the sectors of emerging markets, that is, India and China and developed markets, that is, the United Kingdom (UK) and the United States (US). Focusing on financial services, auto, oil and
Satyaban Sahoo, Sanjay Kumar
doaj   +1 more source

Variance targeting estimation of the BEKK-X model [PDF]

, 2016
This paper studies the BEKK model with exogenous variables (BEKK-X), which intends to take into account the influence of explanatory variables on the conditional covariance of the asset returns.
Thieu, Le Quyen
core  

Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset? [PDF]

PLoS One, 2023
Yun SJ, Choi SY, Kim YS.
europepmc   +1 more source

Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

East Asian Economic Review, 2015
The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan.
Taly I
doaj   +1 more source

Spillover Effects in Major Equity Markets: A GARCH BEKK Approach

OALib, 2016
Based on the equity market return in the US, UK, Hong Kong and Japan, this study examines the spillover effects among these markets. VAR models, Granger causality tests, impulse response functions, GARCH (1, 1) models and GARCH BEKK models are conducted in this study.
openaire   +1 more source