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Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis

Finance Research Letters, 2019
Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin-Ether, Bitcoin ...
Paraskevi Katsiampa, Shaen Corbet, Brian M Lucey   +2 more
exaly   +2 more sources

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Linkages between the international crude oil market and the Chinese stock market: A BEKK-GARCH-AFD approach

Energy Economics, 2021
Qiwei Xie, Tao Qian, Jingyu Li
exaly   +2 more sources

A new structural multivariate GARCH-BEKK Model: Causality of green, sustainable and fossil energy ETFs

Communications in Statistics Case Studies Data Analysis and Applications, 2022
The article examines exchange-traded funds (ETFs) for green and sustainable energy regarding causality in their asset returns and volatilities. The structural vector autoregressive (VAR) model is one of the popular methodologies for the empirical ...
Manabu Asai, Chia-Lin Chang, Michael Mcaleer   +2 more
exaly   +2 more sources

Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach

Resources Policy, 2020
This study investigated the volatility spillovers and dynamic correlations between international crude oil, new energy and rare earth markets in China, given China's dominating position in rare earths production/processing and the investable-commodity ...
Yufeng Chen, Biao Zheng, Fang Qu
exaly   +2 more sources

Impact of COVID-19 on volatility spillovers across international markets: Evidence from VAR asymmetric BEKK GARCH model

Annals of Financial Economics, 2022
This study contributes to the COVID-19 related literature in finance by examining asymmetric volatility spillover across stock, Bitcoin, gold and oil markets before and during the COVID-19 pandemic.
N. Arfaoui, I. Yousaf
semanticscholar   +1 more source

Persistence and volatility spillovers of Bitcoin to other leading cryptocurrencies: a BEKK-GARCH analysis

Foresight, 2023
Purpose This paper aims to investigate the effects of volatility transmission among Bitcoin and other leading cryptocurrencies, namely, Binance USD, BNB, Cardano, Dogecoin, Ethereum, Polkadot, Polygon, Solana, Tether, USD Coin and XRP.
Parichat Sinlapates, Surachai Chancharat
semanticscholar   +1 more source

Interconnected Markets: Unveiling Volatility Spillovers in Commodities and Energy Markets through BEKK-GARCH Modelling

Analytics
Food commodities and energy bills have experienced rapid undulating movements and hikes globally in recent times. This spurred this study to examine the possibility that the shocks that arise from fluctuations of one market spill over to the other and to
Tetiana Paientko
exaly   +2 more sources

Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach

Journal of Economic Studies, 2021
PurposeThe outbreak of the coronavirus disease 2019 (COVID-19) pandemic is an unprecedented shock to the BRICS (Brazil, Russia, India, China, South Africa) economy and their financial markets have plummeted significantly due to it. This paper adds to the
Kunjana Malik, Sakshi Sharma, Manmeet Kaur   +2 more
semanticscholar   +1 more source

Volatility spillover between carbon market and related markets in time-frequency domain based on BEKK-GARCH and complex network analysis

Energy
Juntao Chen, Zhehao Huang, Yuanqi Zhao   +2 more
exaly   +2 more sources

The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model

Physica A: Statistical Mechanics and Its Applications, 2017
Xueyong Liu, Haizhong An, Shaobo Wen
exaly   +2 more sources