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,...