Results 41 to 50 of about 312 (108)
Volatility Modeling of Currency Returns: A Bayesian Multivariate GARCH‐EVT Framework
Journal of Probability and Statistics, Volume 2026, Issue 1, 2026.Exchange rate volatility is widely recognized as a major driver of financial instability in emerging markets, driven by its complex dynamics, time‐varying dependence structures, and the frequent occurrence of extreme events. However, existing models often treat these interrelated features in isolation, limiting their ability to adequately capture their
Jean De Dieu Ntawihebasenga +4 more
wiley +1 more source
EconomiesUsing a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the Korean stock market. Empirical results suggest that shocks and volatility in Dubai oil prices are significantly transmitted into twenty ...
Sunghee Choi
doaj +1 more source
Spatial and spatiotemporal volatility models: A review
Journal of Economic Surveys, Volume 39, Issue 3, Page 1037-1091, July 2025.Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity ...
Philipp Otto +4 more
wiley +1 more source
The fiction of full BEKK: Pricing fossil fuels and carbon emissions
, 2022 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, Chia-Lin Chang
core
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models [PDF]
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC.
Michael McAleer, Massimiliano Caporin
core +2 more sources
Looking a Gift Horse in the Mouth: The Dark Side of Uncertain Price Promotions
Psychology &Marketing, Volume 42, Issue 6, Page 1640-1666, June 2025.ABSTRACT A growing number of retailers and brands use uncertain price promotions to increase their sales. This research introduces the “looking a gift horse in the mouth” effect by probing these promotions as a potential liability. Findings from a field study and five experiments reveal that consumers who receive an inferior prize in an uncertain price
Arash Talebi +2 more
wiley +1 more source
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and diagonal BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to ...
Roengchai Tansuchat +2 more
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Agribusiness, Volume 41, Issue 2, Page 307-341, Spring 2025.Abstract For a significant global segment, the volatility in grain prices presents a substantial menace to food accessibility and security. In the global pandemic and the Russia–Ukraine conflict (RUW), numerous nations were caught off guard, exacerbating this predicament and leading to instances where citizens faced purchasing restrictions on sunflower
Faruk Urak
wiley +1 more source
Volatility transmission from developed to emerging stock markets: a diagonal BEKK approach [PDF]
, 2019 Πτυχιακή εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2019.This study investigates the volatility transmission between global stock markets. To achieve our goal, we use daily stock index data covering the time period from 2000 to 2016.
Zachariadis, Konstantinos
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Product differentiation, quality, and milk price stability: The case of the Swiss cheese market
Applied Economic Perspectives and Policy, Volume 47, Issue 1, Page 416-435, March 2025.Abstract We investigate potential linkages between product and quality differentiation in the cheese markets and raw milk producer prices. We analyze the co‐movements of producer prices of milk delivered to cheese processing channels with different differentiation strategies, namely industrial, artisanal, and artisanal cheese with geographical ...
Yanbing Wang +3 more
wiley +1 more source