Search Results - subject:"Multivariate EGARCH"

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Extended multivariate EGARCH model : a model for zero-return and negative spillovers

Xu, Yongdeng - In: Journal of forecasting 44 (2025) 4, pp. 1266-1279

Persistent link: https://www.econbiz.de/10015464638

Extended multivariate EGARCH model : a model for zero-return and negative spillovers

Xu, Yongdeng - 2024

This paper introduces an extended multivariate EGARCH model that overcomes the zero-return problem and allows for … investigates volatility spillover effects among the bond, stock, crude oil, and gold markets. Overall, this extended multivariate … EGARCH model offers a flexible and comprehensive framework for analyzing multivariate volatility and spillover effects in …

Persistent link: https://www.econbiz.de/10015151272

Extended multivariate EGARCH model: A model for zero-return and negative spillovers

Xu, Yongdeng - 2024

Persistent link: https://www.econbiz.de/10015193982

Spillover effects of oil price fluctuations on the U.S and Asia-Pacific stock markets : a multivariate EGARCH analysis

Le Thi Minh Huong; Nguyen, Thi Nga My; Tran, Thi Yen Vinh - In: Asia Pacific financial markets 32 (2025) 3, pp. 1049-1076

Persistent link: https://www.econbiz.de/10015589600

Volatility behaviour of the foreign exchange rate and transmission among Central and Eastern European countries : evidence from the EGARCH model

Ngo Thai Hung - In: Global business review 22 (2021) 1, pp. 36-56

Persistent link: https://www.econbiz.de/10012440250

Modeling financial market volatility in transition markets : a multivariate case

Oikonomikou, Leoni Eleni - 2016 - Revised version including comments: February 2015

This paper presents evidence of linkages across equity markets in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. We apply a multivariate asymmetric EGARCH model. Empirical results indicate significant...

Persistent link: https://www.econbiz.de/10011454085

Modeling financial market volatility in transition markets: A multivariate case

Oikonomikou, Leoni Eleni - 2016

Persistent link: https://www.econbiz.de/10011460592

Modeling financial market volatility in transition markets : a multivariate case

Oikonomikou, Leoni Eleni - In: Research in international business and finance 45 (2018), pp. 307-322

Persistent link: https://www.econbiz.de/10011983276

Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK

Kizys, Renatas; Spencer, Peter - Department of Economics and Related Studies, University … - 2007

This paper uses the exponential generalised heteroscedasticity model-in-mean (EGARCH- M) to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is significantly affected by the long bond yield, acting as a...

Persistent link: https://www.econbiz.de/10005523933

Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities

Kizys, Renatas; Spencer, Peter - Money Macro and Finance Research Group - 2007

In this paper, we used modified multivariate EGARCH-M models to assess the relation between the equity risk premium …

Persistent link: https://www.econbiz.de/10004978125