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Structural breaks and volatility spillovers : the case of the US and Canadian Stock Markets

Tsuji, Chikashi - In: Journal of management research 11 (2019) 2, pp. 30-44

Persistent link: https://www.econbiz.de/10011993943

An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields?

Guarín, Alexander; Moreno, José Fernando; Vargas, Hernando - BANCO DE LA REPÚBLICA - 2014

estimate a VARX – MGARCH model to compute the short-term response of local asset prices to foreign financial shocks. Our …

Persistent link: https://www.econbiz.de/10010774629

Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model

Toraman, Cengiz; Basarir, Cagatay; Bayramoglu, Mehmet Fatih - In: Business and Economics Research Journal 2 (2011) 4, pp. 37-37

Recently, increase of the gold prices attracts interest again together with the affects of the latest financial crisis. Main objective of this study is to determine factors affecting the gold prices. The study includes montly data between June, 1992 and March, 2010. Oil prices, USA exchange...

Persistent link: https://www.econbiz.de/10010840091

Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model

Chevallier, Julien - In: Economics Bulletin 31 (2011) 1, pp. 255-272

MGARCH model by Engle and Sheppard (2001) and Engle (2002) on daily data from March 09, 2007 to January 26, 2010, we confirm … shows that the correlations between EUAs and CERs extracted from the DCC MGARCH model appear as a useful tool to comprehend …

Persistent link: https://www.econbiz.de/10008794449

Determinants of European stock market integration

Büttner, David; Hayo, Bernd - 2009

We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...

Persistent link: https://www.econbiz.de/10010265893

Unilateral vs. Bilateral Incentives: Evidence from the U.S. Pork Industry

Jang, Jongick; Miller, Douglas J.; Sykuta, Michael E.; … - 2009

procurement contracts is demanded, in the presence of volatile hog price and feed price movements. The MGARCH model analysis of …

Persistent link: https://www.econbiz.de/10009444736

Determinants of European Stock Market Integration

Büttner, David; Hayo, Bernd - Volkswirtschaft Abteilung, Fachbereich … - 2009

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate...

Persistent link: https://www.econbiz.de/10005011854

Unilateral vs. Bilateral Incentives: Evidence from the U.S. Pork Industry

Jang, Jongick; Miller, Douglas J.; Sykuta, Michael E.; … - Agricultural and Applied Economics Association - AAEA - 2009

procurement contracts is demanded, in the presence of volatile hog price and feed price movements. The MGARCH model analysis of …

Persistent link: https://www.econbiz.de/10005012609