Search Results - subject:"Generalized Autoregressive conditional heteroscedasticity"

Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications

Rastogi, Shailesh; Kanoujiya, Jagjeevan; Doifode, Adesh - In: Cogent business & management 11 (2024) 1, pp. 1-17

Literature is replete with evidence of market integration between crude oil, gold and interest rates (IR) with the exchange rate (ER) due to varied reasons. However, it is observed that the explored market integration is limited for the price and return volatilities. Bivariate GARCH models...

Persistent link: https://www.econbiz.de/10014543455

Can inflation predict energy price volatility?

Batten, Jonathan A.; Mo, Di; Pourkhanali, Armin - In: Energy economics 129 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014558888

Asymmetric volatility spillover between crude oil and other asset markets

Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - In: Energy economics 130 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014559169

Not all VIXs are (Informationally) equal : evidence from affine GARCH option pricing models

Escobar, Marcos; Stentoft, Lars; Ye, Xize - In: Finance research letters 69 (2024) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10015079727

The multivariate fractional Ornstein-Uhlenbeck process

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015084279

Tail risk modelling of cryptocurrencies, gold, non-fungible token, and stocks

Barson, Zynobia; Owusu Junior, Peterson - In: Research in globalization 8 (2024), pp. 1-23

We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We explored which model specification and distributional...

Persistent link: https://www.econbiz.de/10015050054