Results 181 to 190 of about 6,108 (234)

Signed Connectedness Among Cryptocurrencies, NFTs, and Foreign Exchange Markets. [PDF]

Entropy (Basel)
Yang S, Zhang X, Xu W.
europepmc   +1 more source

Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management

, 2017
Allen, DE, McAleer, Michael
openaire   +1 more source

Scalar BEKK and indirect DCC

Journal of Forecasting, 2008
AbstractThe paper derives the scalar special case of the well‐known BEKK multivariate GARCH model using a multivariate extension of the random coefficient autoregressive (RCA) model. This representation establishes the relevant structural and asymptotic properties of the scalar BEKK model using the theoretical results available in the literature for ...
Massimiliano Caporin, Michael Mcaleer
exaly   +4 more sources

Some of the next articles are maybe not open access.

Related searches:

Volatility spillovers for energy prices: A diagonal BEKK approach

Energy Economics, 2020
Abstract We examine the relationship between return and volatility as well as the covolatility spillover for energy, foreign currency, and stock markets using the diagonal BEKK model. Using daily crude oil, natural gas, and the coal prices as proxies for energy prices, the S&P500 index as a proxy for the U.S.
Mehdi Zolfaghari, Hamed Ghoddusi
exaly   +3 more sources

ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS

Econometric Theory, 2008
The question of which multivariate generalized autoregressive conditionally heteroskedastic (GARCH) models in the vec form are representable in the BEKK form is addressed. Using results from linear algebra, it is established that all vec models not representable in the simplest BEKK form contain matrices as parameters that map the vectorized positive ...
Stelzer, R., Stelzer, Robert
openaire   +2 more sources

Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach

Resources Policy, 2023
The international dry bulk shipping market is closely related to the commodity and crude oil markets. At the same time, the Baltic Dry Index (BDI) is usually considered as the main indicator of economic activities.
Yufeng Chen, Jiafeng Miao
exaly   +2 more sources

Hedge ratio on Markov regime-switching diagonal Bekk–Garch model

Finance Research Letters, 2018
Abstract China's stock market is known with quick change and violent fluctuation in recent years. This paper develops a Markov regime switching diagonal Bekk–Garch model, enabling parameters to be state dependent upon the regime of market. The empirical results show that different states exist. The high volatility regime has a lower state probability,
Yan Zhipeng, Li Shenghong
openaire   +2 more sources

Impacts of U.S. Stock Market Crash on South African Top Sector Indices, Volatility, and Market Linkages: Evidence of Copula-Based BEKK-GARCH Models

International Journal of Financial Studies, 2023
This paper examines the effects of the Standard and Poor’s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services ...
John Weirstrass Muteba Mwamba
exaly   +2 more sources