Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models
نویسندگان
چکیده
منابع مشابه
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Discussion Papers are a series of manuscripts in their draft form. They are not intended for circulation or distribution except as indicated by the author. For that reason Discussion Papers may not be reproduced or distributed without the written consent of the author. for financial support. This is an abridged and revised version of a paper entitled " Do we really need both BEKK and DCC? A tal...
متن کاملStationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior o...
متن کاملEfficient Factor GARCH Models and Factor-DCC Models
We reveal that in the estimation of univariate GARCH or multivariate generalized orthogonal GARCH (GO-GARCH) models, maximizing the likelihood is equivalent to making the standardized residuals as independent as possible. Based on that, we propose three factor GARCH models in the framework of GO-GARCH: independent-factor GARCH exploits factors that are statistically as independent as possible; ...
متن کاملNo . 54 / January 2005 Linkages and relationships between Emerging European and Developed Stock Markets before and after the Russian Crisis of 1997 - 1998
This paper examines the linkages between the Russian stock market and those of its largest neighbors in Central and Eastern Europe, and the world stock markets over the 10 year period 1995-2004. What we find is that there was a major change in the nature of these relationships after the so called Russian Crisis of 1997-1998. The nature of this change is such that we can no longer rely on the th...
متن کاملModeling and predicting of different stock markets with GARCH model
This paper is mainly talking about several volatility models and its ability to predict and capture the distinctive characteristics of conditional variance about the empirical financial data. In my paper, I choose basic GARCH model and two important models of the GARCH family which are E-GARCH model and GJR-GARCH model to estimate. At the same time, in order to acquire the forecasting performan...
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 Journal of Economics, Finance and Management Sciences
سال: 2015
ISSN: 2326-9553
DOI: 10.11648/j.ijefm.20150303.18