نتایج جستجو برای: mgarch bekk
تعداد نتایج: 339 فیلتر نتایج به سال:
This paper aims to investigate and measure Bitcoin the five largest stablecoin market volatilities by incorporating various range-based volatility estimators BEKK- GARCH Copula-DCC-GARCH models. Specifically, we further Bitcoins’ related major stablecoins examine connectedness between stablecoins. Our empirical findings document that behaviors exhibits presence of stable interconnection. study ...
This study aims to investigate the dynamic conditional correlation and volatility spillover between conventional Islamic stock markets in developed emerging countries order develop better portfolio asset allocation strategies. We used both multivariate GARCH (MGARCH) multi-scales-based maximal overlap discrete wavelet transform (MODWT) approaches countries. The results show that move together l...
This paper investigates the forecasting ability of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model. The paper also compares the forecasting ability of the non-GARCH model the Kalman method. Forecast errors based on twenty UK company weekly stock return (based on timevary beta) forecasts ...
W.D. Apel, J. C. Arteaga-Velàzquez, K. Bekk, M. Bertaina, J. Blümer, H. Bozdog, I.M. Brancus, E. Cantoni,* A. Chiavassa, F. Cossavella, K. Daumiller, V. de Souza, F. Di Pierro, P. Doll, R. Engel, J. Engler, M. Finger, B. Fuchs, D. Fuhrmann, H. J. Gils, R. Glasstetter, C. Grupen, A. Haungs, D. Heck, J. R. Hörandel, D. Huber, T. Huege, K.-H. Kampert, D. Kang, H.O. Klages, K. Link, P. Łuczak, M. L...
Article history: Received 10 April 2006 Received in revised form 4 August 2009 Accepted 20 August 2009 Available online 28 August 2009 This paper uses both linear and nonlinear causality tests to reexamine the causal relationship between the returns on large and small firms. Consistent with previous results, we find that large firms linearly lead small firms. We also find a significant linear c...
In the empirical analysis of nancial time series, multivariate GARCH models have been used in various forms. In most cases it is not well understood how the use of a restricted model has to be paid with loss of valuable information. We investigate the structural implications of the alternative models for the response of the conditional (co{)variances to independent shocks. The impulse response ...
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