This paper investigates co-movements among the Chinese stock market, Shanghai International Energy Exchange (INE) crude oil futures and West Texas Intermediate (WTI) futures. We use Copula models to capture tail dependencies employ VAR-BEKK-GARCH model examine direction of volatility spillovers. find that there are positively time-varying dependency relationships three markets. Compared with co...

return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...

when the past observations are correlated with future observations and their correlation is significant, the time series has long memory. in this paper the contagion effect of volatilities, with consideration of long-run effect, is investigated. the basic model is bekk (1, 1) and fbekk (1,d,1), model extended long-run memory parameter (d) is considered and estimated. furthermore in this paper p...

This paper analyses the impact of a newspaper-based uncertainty associated with infectious diseases (EMVID) on level, slope and curvature factors derived from term structure interest rates US covering maturities 1 year to 30 years. Results nonlinearity structural break tests indicate misspecification linear causality model point suitability applying time-varying model. A DCC-MGARCH framework is...

In this paper, we examine the relationship between volatilities of energy index, crude oil, gas prices, and financial assets (Gold, Bitcoin, G7 stock indexes), especially during coronavirus crisis. The study tests presence regime changes in GARCH volatility dynamics indexes, Gold, (energy gas) by using Markov–Switching model. It estimates dynamic correlation spillover assets, multivariate MSGAR...

this paper empirically investigates the relationship between cpi inflation uncertainty, and private investment in the iranian economy from 1988 to 2010 by using quarterly data. we employ a bivariate var(5)-garch(1,1)-in-mean with diagonal bekk model to discover in a unified framework how are the interactions between the variables. in the model, conditional variance of inflation and private inve...