Results 201 to 210 of about 6,108 (234)

A Multivariate VEC-BEKK Model for Portfolio Selection

2016
The use of bivariate vector error correction models and Baba–Engl–Kraft–Kroner models is proposed for the selection of a stock portfolio (Markowitz portfolio) based on estimates of average returns on shares and the volatility of share prices. The model put forward is applied to a series of data regarding the prices of 150 shares traded on the Italian ...
PIERINI, ANDREA, NACCARATO, ALESSIA
openaire   +3 more sources

Study of Volatility Spillover from Crude Oil Futures to Grain Futures Across Multiple Cycles Based on the EEMD-BEKK-GARCH Model

Agriculture
Against the backdrop of increasing financialization of grain markets, the cross-cycle and cross-market contagion among commodities has been intensifying.
Xizhao Wang, M. Pu, Shengxuan Sun, Yu Zhong   +3 more
semanticscholar   +1 more source

VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK MARKETS DURING THE CRISIS PERIODS: DIAGONAL BEKK APPROACH

Pamukkale University Journal of Social Sciences Institute
A rise in the yield of financial market assets could lead to variations in the returns of other assets over time due to arbitrage conditions. Consequently, this phenomenon may trigger spillover effects or cointegration among the volatilities of assets ...
Nehir Balcı Yıldız
semanticscholar   +1 more source

Volatility spillover effect between cryptocurrency and stock market using MGARCH Bekk model

Natural and Applied Sciences International Journal (NASIJ)
This paper explores the volatility spillover effects between the cryptocurrency market and the Pakistan Stock Exchange (PSX). Utilising data from January 1, 2019, to April 5, 2024, sourced from Investing and Yahoo Finance, the study employs the ...
Iqra Hussain, Nazakat Ali, Hafiz Bilal Ahmad, Suhail Ashraf   +3 more
semanticscholar   +1 more source

FOSİL ENERJİ, TEMİZ ENERJİ VE BIST ELEKTRİK ENDEKSİ ARASINDA OYNAKLIK ETKİLEŞİMİ: ASİMETRİK BEKK-GARCH MODELİNDEN KANITLAR

Pamukkale University Journal of Social Sciences Institute
Fosil enerji kaynaklarının kolay ulaşılabilir ve depolanabilir olmasına rağmen sürdürülebilirlik ve sera gazı emisyonlarında artışa sebep olması gibi olumsuzluklar nedeniyle küresel enerji talebindeki artışın karşılanması amacıyla alternatif ve temiz ...
Ercüment Doğru
semanticscholar   +1 more source

Information Flows Between the US and China’s Agricultural Commodity Futures Markets—Based on VAR–BEKK–Skew-t Model

Emerging Markets Finance and Trade, 2018
Ｑian Chen
exaly   +2 more sources

Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach

, 2020
This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country.
M. Thenmozhi, Shipra Maurya
semanticscholar   +1 more source

Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study

2010
Modeling volatility and co-volatility of a few zero-coupon bonds is a fundamental element in the field of fix-income risk evaluation. Multivariate GARCH model (MGARCH), an extension of the well-known univariate GARCH, is one of the most useful tools in modeling the co-movement of multivariate time series with time-varying covariance matrix. Grounded on
Yiyu Huang, Wenjing Su, Xiang Li 0033
openaire   +1 more source

New estimates of time-varying currency betas: A trivariate BEKK approach

Economic Modelling, 2014
Abstract This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. We employ a modified trivariate BEKK-GARCH-in-mean model of Engle and Kroner (1995) to estimate the time-varying conditional variance and covariance of returns of stock index, the world market portfolio and changes in ...
Prabhath Jayasinghe, Albert K. Tsui, Zhaoyong Zhang   +2 more
openaire   +1 more source

Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria

Resources policy, 2019
This study examines the nexus between gold and stock for Nigeria and South Africa using VARMA-BEKK-AGARCH (V-B-A) model and Quantile regression (QR) approach.
Adeolu O. Adewuyi, O. B. Awodumi, T. Abodunde   +2 more
semanticscholar   +1 more source