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  • Search: subject:"BEKK-MGARCH model"
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Year of publication
Subject
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ARCH model 2 ARCH-Modell 2 BEKK-MGARCH model 2 Volatility 2 Volatilität 2 Agrarprodukt 1 Agricultural product 1 Börsenkurs 1 CCC-MGARCH model 1 CO2 1 China 1 Commodity derivative 1 Conditional Variance 1 DCC-MGARCH model 1 EU ETS 1 Estimation 1 Exchange rate 1 Information dissemination 1 Informationsverbreitung 1 Interest rate 1 Rohstoffderivat 1 Schätzung 1 Share price 1 Spillover effect 1 Spillover-Effekt 1 USA 1 United States 1 VAR-BEKK-MGARCH model 1 Volatility Transmission 1 Wechselkurs 1 Zins 1 agricultural commodity futures 1 gas 1 information flows 1 multivariate GARCH 1 multivariate skew-t distribution 1 oil 1 time-varying correlation 1 vector autoregression 1 volatility spillover 1
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Online availability
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Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Balıbey, Mesut 1 Chen, Qian 1 Chevallier, Julien 1 Türkyılmaz, Serpil 1 Weng, Xin 1
Institution
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Université Paris-Dauphine (Paris IX) 1
Published in...
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Economics Papers from University Paris Dauphine 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 International journal of economics, finance and management sciences : IJEFM 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Information flows between the US and China's agricultural commodity futures markets : based on VAR-BEKK-skew-t model
Chen, Qian; Weng, Xin - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 71-87
Persistent link: https://www.econbiz.de/10012122852
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The relationships among interest rate, exchange rate and stock price : a BEKK- MGARCH approach
Türkyılmaz, Serpil; Balıbey, Mesut - In: International journal of economics, finance and … 1 (2013) 3, pp. 166-174
Persistent link: https://www.econbiz.de/10010251806
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Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2012
Previous literature has identified oil and gas prices as being the main drivers of CO2 prices in a univariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) econometric framework (Alberola et al., 2008; Oberndorfer, 2009). By contrast, we argue in this article that the...
Persistent link: https://www.econbiz.de/10011073239
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