This paper investigates returns and volatility transmission between SPGCE (S&P Global Clean Energy), SPGO Oil), two non-renewable energy commodities (natural gas crude oil), three products of oil distillation (heating oil, gasoline, propane). We estimate a VAR(1) asymmetric BEKK-MGARCH(1,1) using daily U.S. data from March 1, 2010, to February 25, 2020. The empirical findings reveal vast hetero...

After the official launch of China’s unified carbon market, potential for emission reduction is huge. The pilot regional markets urgently need to be connected with national market form a synergy and linkage mechanism further promote development market. Spillover effects can used analyze interaction between multiple markets. In this context, study focuses on overall spillover relationship among ...

this paper investigates the relationship between macroeconomic instability and private investment of the iranian economy. the study uses a trivariate var(2)-garch(1,1)-in-mean with diagonal bekk approach to proxied inflation and exchange rate uncertainties as the main indicators of macroeconomic instability. moreover, bounds testing approach to level relationship applied to investigate the long...

in this paper, in order to optimize the portfolio consisting of selected industrial stocks of petroleum products, automobiles and parts, electrical industry and extraction of minerals from tehran stock exchange member, first, time – varying conditional covariance matrix has been estimated based on the following multivariate garch models: diagonal-vech (1,1), ccc (1,1) and diagonal -bekk (1,1). ...

Oil and gold are considered as the most vigor influencer for any economy. In this research volatility spillover networking among oil (energy), gold, Asian leading emerging stock markets constructed by coalescence of two approaches BEKK-GARCH complex networking. The data consists daily return sixteen countries’ markets, an index Asia Pacific, future prices contracts period 01–01-2010 to 31-05-20...

Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is greater than portfolio size, resulting in nonsingular matrix measures. However, when for example size large, assets suffer from illiquidity issues, or market microstructure noise deters sampling on very high frequencies, this relation not guaranteed. Under these common conditions, r...