Search Results - subject:"BEKK GARCH Model"

Identifying influential energy stocks based on spillover network

Wang, Ze; Gao, Xiangyun; An, Haizhong; Tang, Renwu; … - In: International review of financial analysis 68 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012301082

The volatility transmission between crude oil market and tanker freight market

Dai, Lei; Hu, Hao; Tao, Yu; Lee, Seungwon - In: International journal of shipping and transport … 12 (2020) 6, pp. 619-634

Persistent link: https://www.econbiz.de/10012522841

The volatility spillover effect between the international crude oil futures price and China's stock market : multivariate BEKK-GARCH model based on wavelet multiresolution

Wu, Maoguo; Zhu, Zhehao - In: International journal of financial research 10 (2019) 4, pp. 84-89

Persistent link: https://www.econbiz.de/10012321225

Volatility Transmission Between Stock and Foreign Exchange Markets: Evidence from Nigeria

Emenike Kalu O. - In: Journal of Banking and Financial Economics 1 (2014) 1, pp. 59-72

The direction of volatility transmission between stock and foreign exchange markets is important for hedging strategy, portfolio management and financial market regulation. This paper examines volatility transmission between stock and foreign exchange markets by applying the multivariate GARCH...

Persistent link: https://www.econbiz.de/10011099746

Return, shock and volatility spillovers between the bond markets of Turkey and developed countries

Bayraci, Selçuk - In: Theoretical and applied economics : GAER review 25 (2018) 3/616, pp. 135-144

Persistent link: https://www.econbiz.de/10012155584

Portfolio diversification between developed and developing stock markets : the case of US and UK investors in Nigeria

Oloko, Tirimisiyu F. - In: Research in international business and finance 45 (2018), pp. 219-232

Persistent link: https://www.econbiz.de/10011983231

Intraday price and volatility spillovers between Japanese and Korean stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 15 (2014) 2, pp. 185-207

Persistent link: https://www.econbiz.de/10010414245

Volatility spillovers in China’s crude oil, corn and fuel ethanol markets

Haixia, Wu; Shiping, Li - In: Energy Policy 62 (2013) C, pp. 878-886

Price volatility spillovers among China’s crude oil, corn and fuel ethanol markets are analyzed based on weekly price data from September 5, 2003 to August 31, 2012, employing the univariate EGARCH model and the BEKK-MVGARCH model, respectively. The empirical results indicate a higher...

Persistent link: https://www.econbiz.de/10010709262

Study on the spatial spillover effects for China concept shares (CCSs)

Liu, Xiang-yun; Bin Shi; Ma, Shang-guo; Bo Qin - In: International journal of business innovation and research 7 (2013) 5, pp. 536-553

Persistent link: https://www.econbiz.de/10010212966

Wavelet-based multi-resolution GARCH model for financial spillover effects

Huang, Shian-Chang - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 11, pp. 2529-2539

This study proposes a wavelet-based multi-resolution BEKK-GARCH model to investigate spillover effects across financial …

Persistent link: https://www.econbiz.de/10010870151