Results 101 to 108 of about 312 (108)

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

Kunjana Malik, Sakshi Sharma, Manmeet Kaur   +2 more
openalex   +2 more sources

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Scalar BEKK and indirect DCC

Journal of Forecasting, 2008
Massimiliano Caporin, Michael Mcaleer
exaly  

The dynamic connectedness between global macroeconomic risks and international stock markets: a diagonal BEKK approach

2022
openaire   +1 more source

Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis

Finance Research Letters, 2019
Paraskevi Katsiampa, Shaen Corbet, Brian M Lucey   +2 more
exaly  

A Study on the Dynamic Relationships of Intraday Return and Volatility between Spot and Futures Prices of KOSPI200 using Off-diagonal BEKK of Engle & Kroner

, 2009
Kim Kyung Soo
openalex  

Information Flows Between the US and China’s Agricultural Commodity Futures Markets—Based on VAR–BEKK–Skew-t Model

Emerging Markets Finance and Trade, 2018
Ｑian Chen
exaly  

Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach

Energy Economics, 2015
Afees A Salisu, Tirimisiyu F Oloko
exaly  

DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS

Journal of Economic Surveys, 2012
Massimiliano Caporin, Michael Mcaleer
exaly