Results 81 to 90 of about 312 (108)

The Study of Optimal Hedge Ratios and Utility Based Approach to the Crude Oil Hedging Strategies Using Multivariate GARCH [PDF]

Various GARCH models have been applied to the research of financial time series. For example, studies of Myers and Thompson (1989), Baillie and Myers (1991) and Lien et al.
Lee, Mei-Ying
core  

The Study of Optimal Hedge Ratios and Utility Based Approach to the Crude Oil Hedging Strategies Using Multivariate GARCH

, 2012
Various GARCH models have been applied to the research of financial time series. For example, studies of Myers and Thompson (1989), Baillie and Myers (1991) and Lien et al.
Lee, Mei-Ying
core  

An empirical evaluation of hedging effectiveness of crude palm oil futures market in Malaysia

, 2017
This paper evaluates the hedging effectiveness of the Malaysian crude palm oil futures market using daily settlement prices over the periods from January 4, 2010 to August 30, 2017.
Islam, Mohd Aminul
core  

Hedge ratio on Markov regime-switching diagonal Bekk–Garch model

Finance Research Letters, 2018
Abstract China's stock market is known with quick change and violent fluctuation in recent years. This paper develops a Markov regime switching diagonal Bekk–Garch model, enabling parameters to be state dependent upon the regime of market. The empirical results show that different states exist. The high volatility regime has a lower state probability,
Li Shenghong
exaly   +4 more sources

Volatility spillovers for energy prices: A diagonal BEKK approach

Energy Economics, 2020
Abstract We examine the relationship between return and volatility as well as the covolatility spillover for energy, foreign currency, and stock markets using the diagonal BEKK model. Using daily crude oil, natural gas, and the coal prices as proxies for energy prices, the S&P500 index as a proxy for the U.S.
Mehdi Zolfaghari, Hamed Ghoddusi
exaly   +3 more sources

Social Security Fund Portfolio Risk Measurement Based on Dynamic Diagonal BEKK-MGARCH

2011 International Conference on Management and Service Science, 2011
Taking into account the current social security fund primarily invested to stocks and bonds, we construct the portfolio based on Shanghai & Shenzhen 300 index and bond index on behalf of pension fund investment portfolio, compute the risk of portfolio based on dynamic diagonal BEKK-MGARCH, carry out Kupiec test, compare the result with CCC-MGARCH model.
Chaojie Li, Hongli Jiang
exaly   +3 more sources

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

International Symposia in Economic Theory and Econometrics, 2021
Abstract This chapter examines the dynamic linkages between the returns of Bitcoin, gold, and oil by using daily closing price data between July 17, 2010 and January 8, 2021. This study applies the diagonal BEKK–GARCH model for the purpose of analyzing a volatility spillover of variables in positive or negative ways.
Surachai Chancharat
exaly   +3 more sources

Multivariate Modelling of Returns on Crude Oil Price Benchmarks: A Diagonal BEKK-GARCH Approach Emphasizing Positive Definiteness [PDF]

FMDB Transactions on Sustainable Social Sciences Letters
The study examines volatility and return dynamics of four global crude oil benchmarks – Crude Oil Average (COA), Brent (COB), Dubai (COD), and West Texas Intermediate (COWTI) – denominated in Nigerian naira per barrel from January 1982 to April 2023.
Deebom Zorle Dum
exaly   +3 more sources

Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach [PDF]

, 2012
The fundamental aim of the paper is to analyze the presence and magnitude of the volatility transmissions in emerging markets, namely India, Hungary, Poland, Turkey and Brazil prior to, and during the latest financial turmoil. Using weekly returns of stock market indices from 2005 to 2011, the study applies Multivariate BEKK Methodology.
Erten, Irem, Tuncel, Murat B., Okay, Nesrin   +2 more
core   +3 more sources

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

Journal of Economic Studies, 2021
PurposeThe outbreak of the coronavirus disease 2019 (COVID-19) pandemic is an unprecedented shock to the BRICS (Brazil, Russia, India, China, South Africa) economy and their financial markets have plummeted significantly due to it. This paper adds to the recent literature on contagion due to spillover by uniquely examining the presence of pairwise ...
Kunjana Malik, Sakshi Sharma, Manmeet Kaur   +2 more
openaire   +2 more sources