To investigate the interdependence between Indian onion markets in terms of price volatility, present study was conducted four different vital India, viz. Mumbai, Nashik, Delhi and Bengaluru. The long term monthly data, from March, 2003 to September, 2015 collected website agmarknet.nic.in. We have employed VEC-MGARCH model estimate mean volatility spillover simultaneously among also examined n...

Hamiltonian Monte Carlo (HMC) is a recent statistical procedure to sample from complex distributions. Distant proposal draws are taken in a sequence of steps following the Hamiltonian dynamics of the underlying parameter space, often yielding superior mixing properties of the resulting Markov chain. However, its performance can deteriorate sharply with the degree of irregularity of the underlyi...

This study employs mainly the Bayesian DCC-MGARCH model and frequency connectedness methods to respectively examine dynamic correlation volatility spillover among green bond, clean energy, fossil fuel markets using daily data from 30 June 2014 18 October 2021. Three findings arose our results: First, bond market has a weak negative with (WTI oil, Brent natural gas, heating gasoline) energy mark...

Tendo em vista a flutuação de preço no mercado e o longo período maturação do investimento gado corte, é interesse agente racional tomar decisões que mitiguem eventuais perdas associadas eventos não previstos. Dessa forma, presente estudo busca analisar efetividade da estratégia hedge contratos futuros boi gordo, negociados na B3, como mecanismo financeiro proteção ao risco para os produtores c...

We consider multivariate stationary processes ( X t ) satisfying a stochastic recurrence equation of the form = ???? ? 1 + Q , where are i.i.d. random vectors and Diag b c M … d diagonal matrices (Mt) variables. obtain full characterization vector scaling regular variation properties ), proving that some coordinates Xt, i j asymptotically independent even though all rely on same input (Mt). pro...

Considering the growing importance of sustainable investments worldwide, we explore volatility transmission effects between EURO STOXX Sustainability Index and stock market indexes its stocks. Using daily index return data, during 2000–2022, covering COVID-19 pandemic, Multivariate Generalized Auto-Regressive Conditional Heteroskedasticity (MGARCH) models are used to if indices felt pandemic im...

Using the data from GCC countries, this paper analyses co-movement between oil price, EU carbon allowance prices, global clean energy index and equity three counties, namely, Kuwait, Saudi Arabia United Arab Emirates. Almost no previous research has investigated dynamic interrelations in conventional markets, like those of against dramatic growth production new emissions trading schemes. Employ...