Results 211 to 220 of about 6,108 (234)

Geometric Ergodicity and β-mixing of the Periodic Multivariate BEKK-GARCH Model

Acta Mathematicae Applicatae Sinica, English Series
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Boussama, Farid, Guerbyenne, Hafida, Abdallah, Khedidja Serier   +2 more
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Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas

The North American journal of economics and finance, 2018
Among a political disorder, there are additional difficulties to predict sources of risk. The objective of this article was to analyze the spillover effects and channels of volatility from and to Brazilian stock market (Bovespa) in the period that goes ...
F. A. D. Oliveira, Sinézio Fernandes Maia, D. Jesus, Cássio da Nóbrega Besarria   +3 more
semanticscholar   +1 more source

Modelling the Australian Electricity Spot Prices: A VAR-BEKK Approach

2018
This paper investigates the transmission of spot electricity prices and price volatility among the five Australian regional electricity markets. In particular, VAR(k)-BEKK(p, q) models with optimized lag lengths and different distributional assumptions are analysed. Empirical results suggest that a VAR(3)-BEKK(1,2) under Student-t assumption can better
Manuela Braione, Davide De Gaetano
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BEKK Element-by-Element Estimation of a Volatility Matrix. A Portfolio Simulation

2014
The use of a BEKK (Baba-Engle-Kraft-Kroner) model is proposed to estimate the volatility of a set of financial historical series with a view to the selection of a stock portfolio. An individual element on the diagonal of the volatility matrix is estimated by applying the model to the series of log returns both of the share i to which it refers and of ...
NACCARATO, ALESSIA, PIERINI A.
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Bekke trekke

1996
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Do rare earths drive volatility spillover in crude oil, renewable energy, and high-technology markets? — A wavelet-based BEKK- GARCH-X approach

Energy, 2022
Biao Zheng, Yuquan W. Zhang, Fang Qu, Yong Geng, Hai-hong Yu   +4 more
semanticscholar   +1 more source

Bear Periods Amplify Correlation: A GARCH BEKK Approach

2010
The aim of this paper is to see how correlation changes across time across different indices. We have used a sufficiently large benchmark period of 20 years to have a better understanding as to how correlations1have changed. We compared the correlation in the 20 year period with 3 sub periods namely the Dot Com crisis (1999-2002), the Bullish period ...
Rafiq Maniya, Suleman, Magnusson, Fredrik   +1 more
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Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison

2014
Abstract The BEKK GARCH class of models presents a popular set of tools for applied analysis of dynamic conditional covariances. Within this class the analyst faces a range of model choices that trade off flexibility with parameter parsimony.
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Volatility spillover between Indian and developed markets: a BEKK-GARCH analysis

Managerial Finance
Purpose This study aims to investigate the volatility spillover between Indian and developed markets by using volatility indices. Design/methodology/approach This study examines inter-market volatility spillovers between the Indian ...
Shubham Jain, Suresh Kumar Mittal
openaire   +1 more source

The contribution of shadow banking risk spillover to the commercial banks in China: based on the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model

Electronic Commerce Research, 2022
Chen Zhu
semanticscholar   +1 more source