when the past observations are correlated with future observations and their correlation is significant, the time series has long memory. in this paper the contagion effect of volatilities, with consideration of long-run effect, is investigated. the basic model is bekk (1, 1) and fbekk (1,d,1), model extended long-run memory parameter (d) is considered and estimated. furthermore in this paper p...

In this paper, we examine the relationship between volatilities of energy index, crude oil, gas prices, and financial assets (Gold, Bitcoin, G7 stock indexes), especially during coronavirus crisis. The study tests presence regime changes in GARCH volatility dynamics indexes, Gold, (energy gas) by using Markov–Switching model. It estimates dynamic correlation spillover assets, multivariate MSGAR...

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. we employ a bivariate var(5)-garch(1,1)-in-mean with diagonal bekk model to discover in a unified framework how are the interactions between the variables. in the model, conditional variance of inflation and private inve...

Air pollution spillover can cause air to negatively affect neighboring regions. The structure of varies with changes in season and space. Researching the spatial seasonal characteristics is beneficial for determining prevention control policies. First, this paper uses GARCH-BEKK model correlate among cities. Second, a complex network constructed, cities that have stronger correlations are group...

T. ANTONI,b W. D. APEL,a F. BADEA,a,∗ K. BEKK,a A. BERCUCI,c H. BLÜMER,a,b H. BOZDOG,b I. M. BRANCUS,c C. BÜTTNER,b A. CHILINGARIAN,d K. DAUMILLER,a P. DOLL,a R. ENGEL,a J. ENGLER,a F. FEßLER,a H. J. GILS,a R. GLASSTETTER,e A. HAUNGS,a D. HECK,a J. R. HÖRANDEL,b K.-H. KAMPERT,e H. O. KLAGES,a G. MAIER,a,† H. J. MATHES,a H. J. MAYER,a J. MILKE,a M. MÜLLER,a R. OBENLAND,a J. OEHLSCHLÄGER,a S. OST...

The focus of this article is to compare dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging or the CAPM approach, more ad...

Exchange rate volatility, or a continuous fluctuation in the currency has been major concern recent years due to its impact on economic activities. No wonder concerns have raised regarding connection between exchange fluctuations and their effects overall economy. The motivation for study is based fact that most emerging economies experiencing inflationary tendencies are more likely experience ...

The impact of news releases related to the inflation targeting regime on financial market is analyzed by estimating a bivariate VAR GARCH-BEKK-in-mean model. We use daily data, from January 2006 May 2017, stock prices index (IBOVESPA), exchange rate (BRL/USD) and interbank deposit (DI360). developed positive negative measure based Caporale et al. (2016) (2018). Although literature subject vast,...

Robust Estimation in Nonlinear Modeling of Volatility Transmission in Stock Market S.B. Ebrahimi * Department of Industrial Engineering, K.N.Toosi University of Technology, Tehran, Iran * Email: [email protected] (Received: 12 September 2015; Revised: 8 May 2016; Accepted: 24 June 2016) Volatility transmission means the connection between different markets in a way that volatility can be tr...