Results 1 to 10 of about 89 (74)
Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management [PDF]
Energies, 2018 The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark.
David E. Allen, Michael McAleer
doaj +9 more sources
Cogent Economics & FinanceThis 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
Iulia Cristina Iuga +2 more
doaj +5 more sources
Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK [PDF]
Journal of Risk and Financial Management, 2018 As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical ...
Chia-Lin Chang +2 more
exaly +6 more sources
SN Business & Economics, 2022 The fundamental aim of this study is to examine the contagion effect of Bitcoin on the National Securities Exchange, Shanghai Stock Exchange, London Stock Exchange, and Dow Jones Industrial Average by analyzing the volatility spillover and correlation between these markets to understand the short-term and long-term impact of this volatility ranging ...
Kavya Clanganthuruthil Sajeev +1 more
exaly +3 more sources
PREDICTION OF CONDITIONAL VARIANCE VOLATILITY OF REAL PRICES OF ALMOND, HAZELNUT, AND PISTACHIO BY THE DIAGONAL BEKK-GARCH (1.1) EQUATION MODEL [PDF]
Scientific Papers Series : Management, Economic Engineering in Agriculture and Rural Development, 2022 Turkey is one of the most important hazelnuts and pistachio producers in the world. In this study, it has been determined what kind of volatility and pass-through there is between the real prices of almonds, hazelnuts, and pistachios in Turkey.
Ferda Nur ÖZDEMİR +2 more
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ESTIMATING VOLATILITY SPREADS BETWEEN MELON, WATERMELON, AND GRAPE MARKETS WITH THE DIAGONAL BEKK-GARCH (1.1) EQUATION MODEL [PDF]
Scientific Papers Series : Management, Economic Engineering in Agriculture and Rural Development, 2023 This investigation has been conducted to determine the fluctuations in the real prices of melon, watermelon, and grapes cause volatility in their own and other markets in Turkey.
Serpil TIRAŞCI +4 more
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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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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
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Dynamic Relationship Between Macroeconomic Instability and Private Investment in the Iranian Economy [PDF]
International Journal of Business and Development Studies, 2014 This paper investigates the relationship between macroeconomic instability and private investment of the Iranian economy. The study uses a trivariate VAR(2)-GARCH(1,1)-in-Mean with diagonal BEKK approach to proxied inflation and exchange rate ...
Mosayeb Pahlavani +2 more
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Cogent Economics & Finance, 2022 China is considered the largest emerging economy and thus investors perceived as an attractive investment. We examine the spillover effect from Chinese stock exchange to stock exchanges of Asia and Latin America, namely, India, Indonesia, Mexico, and ...
Miklesh Prasad Yadav +3 more
doaj +1 more source