Bayesian inference of multivariate-GARCH-BEKK models [PDF]
Statistical Papers, 2022 AbstractThe main aim of this paper is to present a Bayesian analysis of Multivariate GARCH(l, m) (M-GARCH) models including estimation of the coefficient parameters as well as the model order, by combining a set of existing MCMC algorithms in the literature. The proposed algorithm focuses on the BEKK formulation of the multivariate GARCH model.
G. C. Livingston, Darfiana Nur
semanticscholar +4 more sources
Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models [PDF]
SN Bus Econ, 2022 The fundamental aim of this study is to examine the contagion effect of Bitcoin on the National Securities Exchange, Shanghai Stock Exchange, London Stock Exchange, and Dow Jones Industrial Average by analyzing the volatility spillover and correlation ...
Kavya Clanganthuruthil Sajeev +1 more
semanticscholar +3 more sources
Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks [PDF]
Heliyon, 2022 We first employ the method of multivariate GARCH models and Vine-Copula-CoVaR to analyse relationships between dependence, systematic risk spillover, and volatility spillover between the USD/CNY exchange rate and the returns on WTI crude oil futures and ...
H. Zeng +3 more
semanticscholar +2 more sources
Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
Axioms, 2022 This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models.
Kuo-Shing Chen, Shen-Ho Chang
doaj +2 more sources
The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions [PDF]
SSRN Electronic Journal, 2018 The purpose of the paper is to (i) 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, that are not consistent with Full BEKK, and (ii) provide the regularity conditions ...
Chia-Lin Chang, Michael McAleer
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DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS [PDF]
Journal of Economic Surveys, 2010 Abstract The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK and dynamic conditional correlation (DCC).
CAPORIN, MASSIMILIANO, Michael McAleer
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CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH [PDF]
Econometric Theory, 2021 We consider conditions for strict stationarity and ergodicity of a class of multivariate BEKK processes $(X_t : t=1,2,\ldots )$ and study the tail behavior of the associated stationary distributions. Specifically, we consider a class of BEKK-ARCH processes where the innovations are assumed to be Gaussian and a finite number of lagged $X_t$ ’s may ...
Pedersen, Rasmus Søndergaard +1 more
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I do not want to set my own price! Indirect effects of emotions and moderation effects of skepticism explain reduced use intentions towards participative pricing models. [PDF]
PLoS ONE, 2023 Participative pricing models (i.e., auction, reverse auction, pay-what-you-want) have grown in importance compared to classical, non-participative pricing models (i.e., fixed price, discount).
Regina Wittstock-Lang +2 more
doaj +2 more sources
Syklistens opplevelse av bekk i urbant miljø
, 2013 Et større innslag av blå-grønne strukturer i byer og tettsteder er et uttalt mål for lokale og nasjonale planleggingsmyndigheter. Dette passer med ønsket om å åpne tildekkede vannløp, tilrettelegge for ferdsel til fots og på sykkel, bidra til bevaring av biologisk mangfold, tilby naturopplevelser, også i urbane områder, og redusere biltrafikk.
Petursdottir, Kristin
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Comparing of Volatility Transmission Model with Consideration of Long Memory Effect; Case Study: Three Selected Industry Index [PDF]
تحقیقات مالی, 2013 When the past observations are correlated with future observations and their correlation is significant, the time series has long memory. In this paper the contagion effect of volatilities, with consideration of long-run effect, is investigated.
Seyed Mohammad Seyedhosseini +1 more
doaj +1 more source