نتایج جستجو برای: mgarch bekk
تعداد نتایج: 339 فیلتر نتایج به سال:
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 (...
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, ...
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...
یکی از ویژگی های بازار نفت خام، نوسانات زیاد قیمتها می باشد که سبب ایجاد ریسک قیمت می-شود. از آنجایی که در اقتصاد ایران بخش نفت سهم زیادی از تولید ناخالص داخلی را به خود اختصاص داده است و ریسک قیمت آن اثرات منفی بر پیکره اقتصاد کشور وارد می کند، لذا مدیریت و پوشش این ریسک به وسیله راهکارهای مناسب ضروری به نظر می رسد. یکی از راهکارهای مقابله با ریسک استفاده از ابزار مشتقه مالی و ورود به معاملات ...
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...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید