Search Results - subject:"BEKK GARCH Model"

Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model

Wamiliana; Russel, Edwin; Alam, Iskandar Ali; Widiarti; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 579-591

Persistent link: https://www.econbiz.de/10014494811

How does sovereign bond volatility interact between African countries?

Emenike, Kalu O. - In: Journal of derivatives and quantitative studies : … 30 (2022) 4, pp. 246-259

The importance of sovereign bond as a source of financing revenue deficit, benchmarking for corporate bonds and debt management in Africa, calls for continual monitoring of its volatility dynamics. This study evaluates the nature of sovereign bond volatility interaction between African countries...

Persistent link: https://www.econbiz.de/10014226742

COVID-19 and time-frequency spillovers between oil and sectoral stocks and portfolio implications : evidence from China and US economies

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Vo Xuan Vinh; … - In: International economics : the quarterly journal in … 180 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10015166867

The contagion between stock markets : evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic

Le Thi Minh Huong - In: Macroeconomics and finance in emerging market economies 17 (2024) 1, pp. 78-94

Persistent link: https://www.econbiz.de/10014511849

The impact of COVID-19 on price transmission and price volatility in the Canadian beef supply chain

Zheng, Yanan; An, Henry; Yang, Meng; Qiu, Feng - In: Canadian journal of agricultural economics : CJAE 72 (2024) 3, pp. 389-406

Persistent link: https://www.econbiz.de/10015121076

Tackling investment risks using equity options during extreme economic upheavals : Indian evidence

Jose, Babu; Varghese, James - In: Colombo business journal : international journal of … 12 (2021) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012807616

The stock market - oil prices variability relationship in the USA : the financial crisis effect

Mademlis, Dimitrios Kartsonakis; Dritsakis, Nikolaos - In: International journal of computational economics and … 13 (2023) 2, pp. 129-152

Persistent link: https://www.econbiz.de/10014307712

Risk spillover of banking across regions : evidence from the belt and road countries

Zhao, Hong; Li, Jiayi; Lei, Yiqing; Zhou, Mingming - In: Emerging markets review 52 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013419084

Crude oil volatility transmission across food commodity markets : a multivariate BEKK-GARCH approach

Thenmozhi, M.; Maurya, Shipra - In: Journal of emerging market finance 20 (2021) 2, pp. 131-164

Persistent link: https://www.econbiz.de/10012592434

Does fear (VIX Index) incite volatility in food prices?

Çınar, Gökhan; Uzmay, Ayse - In: International journal of food and agricultural … 5 (2017) 2, pp. 69-78

Persistent link: https://www.econbiz.de/10011886100