Results 91 to 100 of about 312 (108)

Assessing Spillover Dynamics: A Diagonal BEKK GARCH Analysis of Interactions Among the Crypto Market and Systemically Significant Industries with a Historical Nexus to Financial Crises

2024 IEEE 44th International Conference on Distributed Computing Systems Workshops (ICDCSW)
Haoyang Yu
exaly   +3 more sources

Return and volatility spillovers between Nigeria and selected stock markets: Evidence from a diagonal BEKK-AMGARCH model

, 2022
The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock markets over the period January 2000 to August 2021 using a diagonal BEKK-AMGARCH model. Results show that the Nigerian stock market exhibits characteristics of inefficiency, as investors could consistently make gains higher than the ...
Karimo, Tari Moses, Ochoche, Abraham, Atoi, Ngozi Victor   +2 more
openaire   +2 more sources

VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK MARKETS DURING THE CRISIS PERIODS: DIAGONAL BEKK APPROACH

Pamukkale University Journal of Social Sciences Institute
A rise in the yield of financial market assets could lead to variations in the returns of other assets over time due to arbitrage conditions. Consequently, this phenomenon may trigger spillover effects or cointegration among the volatilities of assets within financial markets.
Nehir Balcı
openaire   +2 more sources

High frequency volatility co-movements in cryptocurrency markets [PDF]

Journal of International Financial Markets, Institutions and Money, 2019
Through the application of Diagonal BEKK and Asymmetric Diagonal BEKK methodologies to intra-day data for eight cryptocurrencies, this paper investigates not only conditional volatility dynamics of major cryptocurrencies, but also their volatility co ...
Paraskevi Katsiampa, Shaen Corbet, Brian M Lucey   +2 more
exaly   +2 more sources

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A new structural multivariate GARCH-BEKK Model: Causality of green, sustainable and fossil energy ETFs

Communications in Statistics Case Studies Data Analysis and Applications, 2022
Manabu Asai, Chia-Lin Chang, Michael Mcaleer   +2 more
exaly  

KRİZ DÖNEMLERİNDE HİSSE SENEDİ PİYASALARI ARASINDA VOLATİLİTE YAYILMA ETKİLERİ: DIAGONAL BEKK MODELİ

Finansal piyasa varlıklarının getirisindeki bir artış, arbitraj koşulları nedeniyle zaman içinde diğer varlıkların getirilerinde değişikliklere yol açabilir. Sonuç olarak, bu olgu finansal piyasalardaki varlıkların volatiliteleri arasında oynaklık yayılma etkilerini veya eşbütünleşmeyi tetikleyebilir.
openaire   +1 more source

Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach

Journal of Economic Studies, 2022
Kunjana Malik
exaly  

Linkages between the international crude oil market and the Chinese stock market: A BEKK-GARCH-AFD approach

Energy Economics, 2021
Qiwei Xie, Tao Qian, Jingyu Li
exaly  

Return and Volatility Linkages between Bitcoin, Gold Price, and Oil Price: Evidence from Diagonal BEKK–GARCH Model

Surachai Chancharat, Julaluk Butda
openalex   +2 more sources

The fiction of full BEKK: Pricing fossil fuels and carbon emissions

Finance Research Letters, 2019
Chia-Lin Chang, Michael Mcaleer
exaly