A. Haungs, M. Risse, W.D. Apel, F. Badea, K. Bekk, J. Blümer, H. Bozdog, K. Daumiller, P. Doll, R. Engel, J. Engler, H.J. Gils, D. Heck, J.R. Hörandel, T. Huege, H.O. Klages, G. Maier, H.J. Mathes, H.J. Mayer, J. Milke, M. Müller, S. Nehls, R. Obenland, J. Oehlschläger, S. Ostapchenko, T. Pierog, S. Plewnia, H. Rebel, M. Roth, H. Schieler, M. Stümpert, H. Ulrich, J. van Buren, A. Weindl, J. Woc...

This study investigates the intraday price and volatility spillover effect between the Japanese market and the Korean market, using a VAR-asymmetric BEKK GARCH model. In particular, the study considers three high-frequency (10-min, 30-min, and 1-hour) intraday datasets of TOPIX and KOSPI200 markets. The empirical results indicate a bi-directional price spillover effect in the 10-min intervals, ...

We consider conditions for strict stationarity and ergodicity of a class multivariate BEKK processes $(X_t : t=1,2,\ldots )$ study the tail behavior associated stationary distributions. Specifically, we BEKK-ARCH where innovations are assumed to be Gaussian finite number lagged $X_t$ ’s may load into conditional covariance matrix . By exploiting that have stochastic recurrence equation represen...

J. Milke”*, T. Antonib, W.D. Apela, F. Badea bt, K. Bekk”, A. Bercuciat, H. Bliimerab, H. Bozdog”, I.M. Branc&, C. Biittnerb, A. Chilingarian d, K. Daumillerb, P. Dolla, J. Englera, F. Fefilerb, H.J. Gils”, R. Glasstetterb, R. Haeuslerb, A. Haungsa, D. Hecka, J.R. Harandelb, A. Iwanbt, K.-H. Kampertba, H.O. Klagesa, G. Maiera, H.J. Mathesa, H.J. Mayera, M. Millera, R. Obenlanda, 3. OehlschlSger...

Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillo...

A. Haungs”*, T. Antonib, W.D. Apela, F. Badea bt, K. Bekk”, A. Bercuciat, H. Bliimeratb, H. Bozdoga, I.M. Branc&, C. Biittner”, A. Chilingariand, K. Daumillerb, P. Doll”, 3. Engle?, F. Fei31era, H.J. Gilsa, R. Glasstetterb, R. Haeuslerb, D. Heck”, J.R. Hbrandelb, A. Iwanbj, K.-H. Kampertbla, H.O. Klagesa, G. Maiera, H.J. Mathes”, H.J. Mayera, J. Milkea, M. Miiller”, R. Obenlanda, J. Oehlschlgge...