Search Results - subject:"Multivariate BEKK-GARCH"

Analysis of staple food price behaviour : multivariate BEKK-GARCH model

Jati, Kumara; Premaratne, Gamini - In: Journal of Asian finance, economics and business : JAFEB 4 (2017) 4, pp. 27-37

Persistent link: https://www.econbiz.de/10011917671

Time varying regional integration in emerging stock market

Guesmi, Khaled - In: Economics Bulletin 31 (2011) 2, pp. 1082-1094

Abstract This paper studies the regional stock market integration process. First, we estimate the time-varying world market risk price and the price of currency risk using an international CAPM with segmentation effects. Second, we study the time varying integration with Markov Switching Model....

Persistent link: https://www.econbiz.de/10008917782

Internationalization versus regionalization in the emerging stock markets

Coudert, Virginie; Hervé, Karine; Mabille, Pierre - In: International journal of finance & economics : IJFE 20 (2015) 1, pp. 16-27

Persistent link: https://www.econbiz.de/10015179928