Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models
نویسندگان
چکیده
منابع مشابه
the relationship between efl learners linguistic and logical intelligence and the frequency and types of informal fallacies and evidence in argumentative writing
مطالعه حاضر با هدف بررسی وجود رابطه ی ممکن میان هوشهای زبانی و منطقی زبان آموزان انگلیسی و تعداد و انواع مغلطه های زبانی و شواهد در متنهای استدلالی آنان انجام پذیرفته است.بدین منظور، 70 زبان آموز با سطح زبانی متوسط به بالا از دو موسسه زبان انگلیسی در ایران انتخاب شده و پرسشنامه های مزبوطه را تکمیل نموده و متنی استدلالی نوشتند. متون نوشته شده مورد بررسی قرار گرفته و نمرات پرسشنامه ها محاسبه شده ...
15 صفحه اولthe relationship between learners critical thinking ability and their performance in the reading sections of the tofel and ielts test
the study reflected in this thesis aims at finding out relationships between critical thinking (ct), and the reading sections of tofel and ielts tests. the study tries to find any relationships between the ct ability of students and their performance on reading tests of tofel and academic ielts. however, no research has ever been conducted to investigate the relationship between ct and the read...
15 صفحه اولthe investigation of the relationship between type a and type b personalities and quality of translation
چکیده ندارد.
Risk Management in Oil Market: A Comparison between Multivariate GARCH Models and Copula-based Models
H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...
متن کاملVolatility Spillovers in the CSI300 Futures and Spot Markets in China: Empirical Study Based on Discrete Wavelet Transform and VAR-BEKK-bivariate GARCH Model
China’s introduction of CSI300 futures in 2010 has aroused widespread attention to whether the stock index futures market has effectively stabilized price fluctuations of its spot market in the past four years. Since the prices of CSI300 futures and CSI300 contain numerous noises and fluctuate drastically over time, this paper applies discrete wavelet transform to denoise these series by decomp...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2020
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2018.11.007