Results 41 to 50 of about 6,108 (234)

Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting [PDF]

Journal of Time Series Econometrics, 2013
Abstract The GARCH class of models for dynamic conditional covariances trades off flexibility with parameter parsimony. The unrestricted BEKK GARCH dominates its restricted scalar and diagonal versions in terms of model fit, but its parameter dimensionality increases quickly with the number of variables.
openaire   +2 more sources

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and diagonal BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to ...
Roengchai Tansuchat, Michael McAleer, Chia-Lin Chang   +2 more
core   +4 more sources

Volatility and spillover analysis between cryptocurrencies and financial indices: a diagonal BEKK and DCC GARCH model approach in support of SDGs

Cogent Economics & Finance
This study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices, specifically focusing on Green Finance Indices (such as solar, wind, and nuclear) and Economic Indices (like the Baltic Dry Index and
I. Iuga, R. Nerișanu, L. Dragolea
semanticscholar   +1 more source

The management of price risk in Iranian dates: An application of futures instruments

Cogent Economics & Finance, 2014
Effective risk management is an important aspect of farming. Risk management involves choosing among alternatives that reduce the financial effects of the uncertainties of weather, yields, prices, government policies, and other factors that can cause ...
Habibeh Sherafatmand, Saeed Yazdani
doaj   +1 more source

Price volatility transmission among cereal markets. The evidences for Turkey

New Medit, 2018
The purpose of this study is to examine the price volatilities in corn, wheat and barley markets in Turkey, and to analyze the volatility transmission across the prices of these commodities.
Gokhan Cinar
doaj   +1 more source

Risk Transmission and Co‐Movements Between Financial Markets and Commodity Markets in the COVID‐19 Period

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho, H. Oliveira, M. Neves, J. Monteiro   +3 more
wiley   +1 more source

Volatility Persistence and Spillover Effects of Indian Market in the Global Economy: A Pre- and Post-Pandemic Analysis Using VAR-BEKK-GARCH Model

Journal of Risk and Financial Management
This study examines how the COVID-19 pandemic impacted stock market volatility and interconnectedness between India and other selected global economies. The analysis, using data from 2016 to 2024, reveals a substantial rise in volatility within both the ...
Narayana Maharana, A. Panigrahi, S. Chaudhury   +2 more
semanticscholar   +1 more source

Моделирование доходности акций на основе модели Bekk-GARCH [PDF]

, 2021
Работа посвящена постоению модели многомерной авторегрессии волатильности BEKK-GARCH. Модель калибруется на исторических данных котировок акций российских эмитентов.The work is devoted to the posting of the model of multidimensional autoregression of the
Запивахина, Елизавета Геннадьевна
core  

Ranking multivariate GARCH models by problem dimension [PDF]

In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002).
Caporin, M., McAleer, M.J.
core   +5 more sources

How Tether Depegging Affects Cryptocurrency Returns

Accounting &Finance, Volume 66, Issue 2, Page 1101-1129, June 2026.
ABSTRACT This paper examines the relationship between Tether depegging events and the returns of ten major cryptocurrencies from November 2017 to November 2024. We distinguish between upward and downward deviations from the Tether peg, identifying these events as threshold exceedances based on historical prices, using both constant parameter and ...
Sean Foley, Seung Ah Lee, George Milunovich   +2 more
wiley   +1 more source