The Fiction of Full BEKK [PDF]
, 2017 The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive ...
Michael McAleer +6 more
core +1 more source
Does trading mechanism shape cross-market integration? Evidence from stocks and corporate bonds on the Tel Aviv Stock Exchange [PDF]
Journal of Economics Finance and Administrative SciencePurpose – This study investigates the influence of trading mechanisms on cross-market integration between stocks and corporate bonds on the Tel Aviv Stock Exchange (TASE) during the COVID-19 crisis.
Elroi Hadad
doaj +1 more source
Dynamic Relationship between Inflation Uncertainty and Private Investment in Iran: An Application of VAR-GARCH-M Model [PDF]
International Journal of Business and Development Studies, 2013 This paper empirically investigates the relationship between CPI inflation uncertainty, and private investment in the Iranian economy from 1988 to 2010 by using quarterly data.
doaj +1 more source
The fiction of full BEKK: Pricing fossil fuels and carbon emissions [PDF]
, 2018 The purpose of the paper is to (i) show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive ...
Michael McAleer +5 more
core +1 more source
: Extreme value theory for the diagonal SRE model
, 2021 We consider multivariate stationary processes (Xt) satisfying a stochastic recurrence equation of the form Xt=tXt−1+Qt, where (Qt) are i.i.d. random vectors and t=Diag(b1+c1Mt,…,bd+cdMt) are i.i.d. diagonal matrices and (Mt) are i.i.d.
Mentemeier, Sebastian +3 more
core +1 more source
Portfolio Optimization Using Multivariate GARCH Models: Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2011 In this paper, In order to optimize the portfolio consisting of selected industrial stocks of Petroleum products, automobiles and parts, electrical industry and extraction of minerals from Tehran Stock Exchange member, First, time – varying conditional ...
Hassan Heidari, Ahmad Molabahrami
doaj
Conditional Correlation on CEE Stock Markets [PDF]
Ovidius University Annals: Economic Sciences Series, 2018 An investigation into the stock market convergence of Czech Republic, Hungary, Slovakia and Romania reveals that capital market correlation level has strongly increased after the EU accession.
Kralik Lóránd István
doaj
Ten Things You Should Know about the Dynamic Conditional Correlation Representation
Econometrics, 2013 The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution
Massimiliano Caporin, Michael McAleer
doaj +1 more source
Econometric modeling of euro, British pound and Japanese yen exchange rates against dollar: Multivariate GARCH approach [PDF]
Bankarstvo, 2017 This paper examines the comparative volatility of major world currencies (the euro, British pound and Japanese yen) against the US dollar. The multivariate diagonal GARCH BEKK model was applied in the study.
Kovačević Radovan
doaj
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho +3 more
wiley +1 more source