نتایج جستجو برای: bekk
تعداد نتایج: 244 فیلتر نتایج به سال:
We propose a new Conditional BEKK matrix-F (CBF) model for the time-varying realized covariance (RCOV) matrices. This CBF is capable of capturing heavy-tailed RCOV, which an important stylized fact but could not be handled adequately by Wishart-based models. To further mimic long memory feature special with conditional heterogeneous autoregressive (HAR) structure introduced. Moreover, we give s...
The economies of West African Monetary Zone (WAMZ) countries have recorded a long trend currency devaluation and hiking instability in oil prices. We estimated the covariance volatilities global prices caused by COVID-19 outbreak on WAMZ from January 30 to December 30, 2020. BEKK model was for analysis. results generalized autoregressive conditional heteroskedasticity (GARCH) show that all vari...
The monetary policy in the frame of monetary transaction through stocks market affects the stocks’ price that these prices also affect the economy with impacting consuming and investing expenses. In another word, based on the importance of monetary part in commercial banks, the effect of these policies on bank stocks has a great importance that is studied in his project. For this purpose, the d...
هدف این مقاله بررسی تاثیر نااطمینانی رشد پول بر جانشینی پول می باشد. بدین منظور از مدل گارچ دو متغیره و روش var-bekk بر اساس داده های سال های 1392-1358 استفاده شد. نتایج نشان می دهد نااطمینانی رشد پول درجه جانشینی پول را به طور مثبت تحت تاثیر قرار می دهد. همچنین جانشینی پول، تحت تاثیر شوک های گذشته خود و نرخ رشد پول است. از سوی دیگر، سرریز نوسانات از نرخ رشد پول به جانشینی پول و برعکس وجود داشت...
در این مقاله، بهمنظور بهینهسازی سبد سرمایهگذاری متشکل از سهام صنایع منتخب فرآوردههای نفتی، خودرو و ساخت قطعات، ماشینآلات برقی، استخراج کانیهای فلزی عضو سازمان بورس اوراق بهادار تهران، ابتدا ماتریس کوواریانس شرطی زمان ـ متغیر بر اساس مدلهای چند متغیرهی ناهمسان واریانس (1, 1) diagonal-vech، (1, 1) ccc و (1, 1) diagonal-bekk تخمین زده شده است، سپس بهینهسازی سبد با رویکرد حداقلسازی ریسک س...
Forecasting Value-at-Risk (VaR) for financial portfolios is a staggering task in financial risk management. The turmoil in financial markets as observed since September 2008 called for more complex VaR models, as ”standard” VaR approaches failed to anticipate the collective market movements faced during the financial crisis. Hence, recent research on portfolio management mainly focussed on mode...
This study attempts to investigate the transmission of market-wide volatility between the equity markets and bond markets of Japan and the U.S. To measure the volatility transmission, the BEKK method, a decomposition approach of the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. The time series analysis provides evidence to the...
In this paper we propose a new multivariate GARCH model with timevarying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By impos...
Este estudo tem por objetivo principal verificar a interdependencia e assimetria na transmissao de risco via choques volatilidades nos precos entre os mercados bovinos corte em ponto abate dos paises membros efetivos do Mercosul. Isso implica analisar volatilidade cada mercado avaliar como um choque especifico se propaga para si proprio outros alteracoes volatilidade. Assim sendo, optou-se pela...
As the world’s largest exporter and second-largest importer, China has made exchange rate stability a top priority for its economic growth. With development over decades, however, now holds excess dollar reserves that have suffered huge paper loss because of quantitative easing in United States. In this reality, been provoked into speeding RMB internationalization as strategy to reduce cost get...
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