Motivated by recent developments in light of the sub-prime and subsequent financial crisis we fit two different vector autoregressive generalized conditional heteroscedastic (VAR-GARCH) models to three financial indices with the aim of understanding the development of dependency structures between credit spreads and other macroeconomic variables. Our analysis includes daily quotes from June 200...

This paper investigates the extent of volatility or risk spillovers between currency carry trade and asset markets, namely equity bond in South Africa to infer connectivity two markets. The operation examined this involves strategies, both which use African rand as investment currency, with U.S. dollar Japanese yen funding currencies. vector autoregressive BEKK-Generalised Autoregressive Condit...

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...