Search Results - subject:"Diagonal BEKK model"

Volatility and spillover analysis between cryptocurrencies and financial indices : a diagonal BEKK and DCC GARCH model approach in support of SDGs

Iuga, Iulia Cristina; Nerișanu, Raluca-Andreea; … - In: Cogent economics & finance 12 (2024) 1, pp. 1-36

and CRB Index). Employing the diagonal BEKK model and the DCC GARCH model, the study spans data from February 17, 2020, to …

Persistent link: https://www.econbiz.de/10015192299

Estimating spillover effect from international oil market to stock market : evidence from Korean portfolio-level analysis

Choi, Sunghee - In: Economies : open access journal 12 (2024) 4, pp. 1-14

Using a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the …

Persistent link: https://www.econbiz.de/10014635909

Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events

Hsu, Shu-Han - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-15

, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects …

Persistent link: https://www.econbiz.de/10014332573

Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events

Hsu, Shu-Han - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects …

Persistent link: https://www.econbiz.de/10013395912

Risk Spillovers in Returns for Chinese and International Tourists to Taiwan

Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018

2014 to 31 October 2016, together with the Diagonal BEKK model, the paper analyses the co-volatility spillover effects …

Persistent link: https://www.econbiz.de/10011819546

Risk spillovers in returns for Chinese and international tourists to Taiwan

Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018

2014 to 31 October 2016, together with the Diagonal BEKK model, the paper analyses the co-volatility spillover effects …

Persistent link: https://www.econbiz.de/10011813417

Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions

Hsu, Shu-Han; Sheu, Chwen; Yoon, Jiho - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012822235

Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

Persistent link: https://www.econbiz.de/10011451531

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

Persistent link: https://www.econbiz.de/10011441704

Volatility spillovers for energy prices : a diagonal BEKK approach

Zolfaghari, Mehdi; Ghoddusi, Hamed; Faghihian, Fatemeh - In: Energy economics 92 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012520093

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