نتایج جستجو برای: mgarch bekk
تعداد نتایج: 339 فیلتر نتایج به سال:
ارزیابی کارایی پوشش ریسک متقاطع نوسانات قیمت نفت خام سبک ایران با استفاده از قراردادهای یک ماهه تا چهارماهه بازار بورس نیویورک (نایمکس) با استفاده از الگوهایmd-garch، bekk-garch، ccc-garch، ecm-md، ecm-bekk، ecm-ccc می پردازد. با تخمین نسبت پوشش ریسک بهینه پویا از طریق این الگوها برای قیمت های نفتخام هفتگی در بازه ژانویه 2000 تا ژانویه 2012 این نتیجه حاصل شد که با استفاده از الگوهای چندمتغیره g...
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 ...
A. Haungs T. Antoni, W.D. Apel, F. Badea, K. Bekk, A. Bercuci H. Blümer, H. Bozdog, I.M. Brancus, C. Büttner A. Chilingarian, K. Daumiller, P. Doll, R. Engel J. Engler, F. Feßler, H.J. Gils, R. Glasstetter,, D. Heck J.R. Hörandel, K.-H. Kampert, H.O. Klages, G. Maier H.J. Mathes, H.J. Mayer, J. Milke, M. Müller R. Obenland, J. Oehlschläger, S. Ostapchenko, M. Petcu S. Plewnia, H. Rebel, A. Riss...
J. Milke, T. Antoni, W.D. Apel, A.F. Badea, K. Bekk A. Bercuci, H. Blümer, H. Bozdog, I.M. Brancus C. Büttner, A. Chilingarian, K. Daumiller, P. Doll R. Engel, J. Engler, F. Feßler, H.J. Gils R. Glasstetter, A. Haungs, D. Heck, J.R. Hörandel K.-H. Kampert, H.O. Klages, G. Maier, H.J. Mathes H.J. Mayer, M. Müller, R. Obenland, J. Oehlschläger S. Ostapchenko, M. Petcu, S. Plewnia, H. Rebel, A. Ri...
This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. A multivariate gen...
This study provides cross country robust evidence on interdependencies among inflation, output growth and respective uncertainties for the current era of low inflation policies. We attribute the extant empirical disagreement on these relations to the fact that long sampling periods and single economies are typically considered for analysis. In this study, VARX-MGARCH-M models are estimated for ...
This paper is focused on examining the number of deaths' increases participation in the propagating the Ebola virus during the period ranging from March to October 2014. An application of the MGARCH-DCC model regressions on four countries has led to discover that the finding that human contact play a significant role in transmitting the Ebola virus. Our findings also reveal that Guinea has alre...
A. Haungs(1)(∗∗), T. Antoni(), W. D. Apel(), F. Badea(), K. Bekk() K. Bernlöhr(1)(∗∗∗), H. Blümer()(), E. Bollmann(), H. Bozdog() I. M. Brancus(), C. Büttner(), A. Chilingarian(), K. Daumiller() P. Doll(), J. Engler(), F. Feßler(), H. J. Gils(), R. Glasstetter() R. Haeusler(), W. Hafemann()( ∗ ∗∗), D. Heck(), J. R. Hörandel() T. Holst(), K.-H. Kampert()(), J. Kempa(), H. O. Klages() J. Knapp(3)...
with the KASCADE muon tracking detector J. Zabierowski ∗ †, T. Antoni, W.D. Apel, F. Badea ‡, K. Bekk, A. Bercuci, H. Blümer , H. Bozdog, C. Büttner, I.M. Brancus, A. Chilingarian, K. Daumiller, P. Doll, R. Engel, J. Engler, F. Feßler, H.J. Gils, R. Glasstetter § A. Haungs, D. Heck, J.R. Hörandel, K.–H. Kampert c §, H.O. Klages, G. Maier ¶, H.J. Mathes, H.J. Mayer, J. Milke, M. Müller, R. Obenl...
In the perspective of oil-importers, this paper considers an extension of the Value at Risk approach incorporated with timevarying conditional volatility model to trace the actual dynamic risk of regional oil-importing portfolio caused by the country risk volatility. With an application to oil economies in the Former Soviet Union (FSU) region, empirical results show that the country portfolio r...
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