نتایج جستجو برای: تکنیک bekk
تعداد نتایج: 27825 فیلتر نتایج به سال:
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets
We propose sparse DCC-GARCH and BEKK-GARCH models based on L 1 ${L}_{1}$ regularization. use the to study daily return volatility correlation spillovers for 24 constituents of Bloomberg commodity index in period 2000–2018. The outperform diagonal out-of-sample terms model fit other criteria. also test whether higher visibility metals energy markets compared with agricultural commodities affects...
در این پژوهش به محاسبه ارزش در معرض ریسک (var) سبدی از 4 فلز اساسی بورس لندن شامل روی، سرب، مس و آلومینیوم پرداخته میشود که در بازه ی زمانی ده سال از 2 ژانویه 2003 الی 19 ژانویه 2013 (12 دی 1381 الی 30 دی 1391) شامل 2704 مشاهده میباشد که از سایت بورس لندن گرفته شده است. به دلیل فقدان دادههای مناسب و کافی جهت بررسی فلزات در بورس کالای ایران، از دادههای معادل در بورس فلزات لندن(lme) استفاده...
This paper proposes new methods for the econometric analysis of outlier contaminated multivariate conditionally heteroscedastic time series. Robust alternatives to the Gaussian quasi-maximum likelihood estimator are presented. Under elliptical symmetry of the innovation vector, consistency results for M-estimation of the general conditional heteroscedasticity model are obtained. We also propose...
T. Antoni a, W. D. Apel b, A.F. Badea a,1, K. Bekk b, A. Bercuci b,1, H. Blümer b,a, H. Bozdog b, I. M. Brancus c, C. Büttner a, A. Chilingarian d, K. Daumiller a, P. Doll b, R. Engel b, J. Engler b, F. Feßler b, H. J. Gils b, R. Glasstetter a, R. Haeusler a, A. Haungs b, D. Heck b, J. R. Hörandel a, A. Iwan a,2, K.-H. Kampert a,b, H. O. Klages b, G. Maier b,3, H. J. Mathes b, H. J. Mayer b, J....
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...
This paper aims to investigate and measure Bitcoin the five largest stablecoin market volatilities by incorporating various range-based volatility estimators BEKK- GARCH Copula-DCC-GARCH models. Specifically, we further Bitcoins’ related major stablecoins examine connectedness between stablecoins. Our empirical findings document that behaviors exhibits presence of stable interconnection. study ...
The asymmetric price volatility transmission issue in agricultural supply chains has been ignored the previous literature. This paper applies an asymmetrical MGARCH-BEKK model to investigate with application Chinese pork market. Additionally, we use Zivot–Andrews unit root test a structural break examine whether piglet, hog, and prices have breaks. results show that pork’s market breakpoint 200...
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