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Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
Econometrics, 2021 This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed ...
Manabu Asai +3 more
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On the Univariate Representation of BEKK Models with Common Factors [PDF]
Journal of Time Series Econometrics, 2015 Abstract Simple low order multivariate GARCH models imply marginal processes with a lot of persistence in the form of high order lags. This is not what we find in many situations however, where parsimonious univariate GARCH(1,1) models for instance describe quite well the conditional volatility of some asset returns.
Hecq, Alain +2 more
openaire +2 more sources
Cogent Business & Management, 2023 Literature is replete with evidence of market integration between crude oil, gold and interest rates (IR) with the exchange rate (ER) due to varied reasons.
Shailesh Rastogi +2 more
semanticscholar +1 more source
Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model [PDF]
تحقیقات مالی, 2018 Objective: The aim of the present study is to analyze and test the power of Conditional Capital Asset Pricing Model (CAPM) with Time Variant Beta against Standard Capital Asset Pricing Model to find the better model to explain expected return of stocks ...
Saeed Fallahpour +2 more
doaj +1 more source
Prepared for regional self-supply? On the regional fit of electricity demand and supply in Germany
Energy Strategy Reviews, 2021 Decentralized systems seeking to balance electricity supply and demand regionally are increasingly being discussed. Regional flexibility concepts, however, require spatially and temporally highly resolved knowledge.
Matthias Kühnbach +2 more
doaj +1 more source
Relationships between Copper Futures Markets from the Perspective of Jump Diffusion
Mathematics, 2021 This paper analyzes the price correlation effect between domestic and foreign copper futures contracts. The VAR-BEKK-GARCH (1,1) spillover effect model and the BN-S class non-parametric model based on the jumping perspective are used.
Xue Jin +3 more
doaj +1 more source
Snemmtæk íhlutun í lestrarnámi í 1. bekk [PDF]
Netla, 2020 Í greininni er sagt frá rannsókn á áhrifum snemmtækrar íhlutunar í lestrarnámi. Í íhlutuninni var notað stuðningskerfið Leið til læsis en það er ætlað kennurum á yngsta stigi grunnskóla til að finna þau börn sem eiga á hættu að lenda í lestrarerfiðleikum annars vegar og til að skipuleggja íhlutun og meta áhrif af henni hins vegar.
Elva Eir Þórólfsdóttir +2 more
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Return and volatility spillover between India and leading Asian and global equity markets: an empirical analysis [PDF]
Journal of Economics Finance and Administrative Science, 2022 Purpose – The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely,
Aswini Kumar Mishra +2 more
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Modeling Multivariate Volatility Processes: Theory and Evidence [PDF]
Theoretical and Applied Economics, 2009 This article presents theoretical and empirical methodology for estimation and modeling of multivariate volatility processes. It surveys the model specifications and the estimation methods.
Jelena Z. Minovic
doaj +1 more source
Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis [PDF]
Finance Research Letters, 2018 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-Litecoin, and Ether-Litecoin.
Paraskevi Katsiampa +2 more
openaire +2 more sources