Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers
Journal of Forecasting, Volume 44, Issue 4, Page 1266-1279, July 2025.ABSTRACT This paper introduces an extended multivariate EGARCH model that overcomes the zero‐return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear asymptotic properties of the QML estimator, our Monte ...
Yongdeng Xu
wiley +1 more source
Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH Model [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran.
Firouz Fallahi +3 more
doaj
A note on the determinants of non‐fungible tokens returns
International Journal of Finance &Economics, Volume 30, Issue 3, Page 3201-3211, July 2025.Abstract We aim to identify the determinants of non‐fungible tokens (NFTs) returns. The 10 most popular NFTs based on their price, trading volume, and market capitalisation are examined. Twenty‐three potential drivers of the returns of each NFT are considered.
Theodore Panagiotidis +1 more
wiley +1 more source
Dynamic spillover effects in futures markets:UK and US evidence [PDF]
, 2016 Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of ...
Antonakakis, Nikolaos +2 more
core +2 more sources
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +1 more source
MIDAS models in banking sector – systemic risk comparison
Managerial Economics, 2018 This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in
Henryk Gurgul +2 more
doaj +1 more source
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants [PDF]
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance.
Alessandro Lanza +3 more
core
Contagion between United States and european markets during the recent crises [PDF]
, 2011 The main objective of this paper is to detect the existence of financial contagion between the North American and European markets during the recent crises.
Muñoz Gracia, María del Pilar +2 more
core +2 more sources
An empirical investigation of investor sentiment and volatility of realty sector market in India: an application of the DCC-GARCH model. [PDF]
SN Bus Econ, 2023 Pillada N, Rangasamy S.
europepmc +1 more source
Spillover Effect of Food Producer Price Volatility in Indonesia
EconomiesFood price volatility is a persistent challenge in Indonesia, where agriculture is central to food security and rural livelihoods. While price transmission has been studied, little is known about how volatility spreads sub-nationally in archipelagic ...
Anita Theresia +3 more
doaj +1 more source