This paper studies transmission of international energy price shocks to various sectors in the Australian stock market. We take the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) approach to modeling volatility and gather evidence that energy price shocks transmit to the price indices of various sectors classified by the global industry classification standard (...

Since the launch of Bitcoin, there has been a lot controversy surrounding what asset class it is. Several authors recognize potential cryptocurrencies but also certain deviations with respect to functions conventional currency. Instead, Bitcoin’s diversifying factor and its high return have generated attention portfolio managers. In this context, understanding how volatility is explained critic...

It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation parameters. Differently from the trad...

This study examines how the relationship between oil and stock market return of BRICS behaves at different investment horizons. Using data ranging from 2006 to 2020, wavelet MGARCH-DCC found that markets’ Russia, Brazil, South Africa are comparatively more correlated with price across horizons volatile particularly during Covid-19 period. However, China India is less volatile. It also revealed ...