Transmissão de preços da commodity soja no mercado internacional Brasil e Estados Unidos: Aplicação dos modelos vetorial autoregressivo (VAR) e GARCH-BEKK diagonal / Transmission of soybean commodity prices in the Brazil and United States international market: Application of the autoregressive vector (VAR) and GARCH-BEKK diagonal models [PDF]
Brazilian Journal of Development, 2021 Este trabalho estuda o mercado internacional de soja através das relações entre os preços. Estimou-se um modelo VAR para verificar a transmissão do preço da commodity da soja entre os mercados do Brasil e dos Estados Unidos. Foram realizados testes de raiz unitária, causalidade de GRANGER, testes de cointegração entre os preços, função de impulso ...
Carlos Alberto Gonçalves Da Silva
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Equation by equation estimation of the semi-diagonal BEKK model with covariates [PDF]
, 2016 This paper provide the asymptotic normality of the Equation by Equation estimator for the semi-diagonal BEKK models augmented by the exogenous variables.
Thieu, Le Quyen
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Asymptotic Independence ex machina -- Extreme Value Theory for the Diagonal BEKK-ARCH(1) Model [PDF]
, 2019 We consider multivariate stationary processes $(\boldsymbol{X}_t)$ satisfying a stochastic recurrence equation of the form $$ \boldsymbol{X}_t= \mathbb{ M}_t \boldsymbol{X}_{t-1} + \boldsymbol{Q}_t,$$ where $(\boldsymbol{Q}_t)$ are iid random vectors and $$ \mathbb{M}_t=\mathrm{Diag}(b_1+c_1 M_t, \dots, b_d+c_d M_t) $$ are iid diagonal matrices and ...
Mentemeier, Sebastian +1 more
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Modeling Multivariate Volatility Processes: Theory and Evidence [PDF]
Theoretical and Applied Economics, 2009 This article presents theoretical and empirical methodology for estimation and modeling of multivariate volatility processes. It surveys the model specifications and the estimation methods.
Jelena Z. Minovic
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Estimação da razão ótima de hedge para dólar futuro usando um modelo M-GARCH-BEKK-Diagonal
, 2005 o presente trabalho versa, fundamentalmente, sobre o entendimento da volatilidade, sua modelagem e estimação. Como objeto mais específico, tem-se a comparação de dois métodos de estimação da razão de hedge para uma carteira com dois ativos: dólar spot e ...
Tanaka, Yutaro
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BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series
Journal of Statistical SoftwareWe describe the R package BEKKs, which implements the estimation and diagnostic analysis of a prominent family of multivariate generalized autoregressive conditionally heteroskedastic (MGARCH) processes, the so-called BEKK models.
Markus J. Fülle +3 more
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, 2017 Since the 1980s, the increased liberalisation process in the global financial system and extent of internationalcapital inflows have raised the importance of the construction of well-diversified portfolios. For a portfolio tobe well-diversified, the correlation between the financial assets constituting the portfolio should be low ornegative, which can ...
Büberkökü, Önder
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Bayesian inference of multivariate-GARCH-BEKK models [PDF]
, 2022 The main aim of this paper is to present a Bayesian analysis of Multivariate GARCH(l, m) (M-GARCH) models including estimation of the coefficient parameters as well as the model order, by combining a set of existing MCMC algorithms in the literature. The
G. C. Livingston +3 more
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Tackling Investment Risks Using Equity Options During Extreme Economic Upheavals: Indian Evidence
Colombo Business Journal, 2021 The study is an empirical scrutiny on the Indian equity options market to examine whether it facilitates the reduction of investment risks, focusing on an economic sphere with financial upheavals.
James Varghese
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Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management [PDF]
, 2017 Allen, DE, McAleer, Michael
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