Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - Institut de Préparation à l'Administration et à la … - 2014
these markets. For this purpose, we make use of the VAR-BEKK-GARCH and VAR-DCC-GARCH models for the daily prices of eight … announcements in these multivariate GARCH models. However, the results are more mixed for the cereal markets. Overall, our results …