This paper introduces a new incomplete index and establishes a new optimal hedging model. We find that when the market micro-noise is perfectly negatively correlated with the return of futures market, market incompleteness depends on the relative level of noise volatility. Especially when noise...

An examination of the linkages between the emerging stock markets in Warsaw and Budapest and the established markets in Frankfurt and the U.S. By using a four-variable asymmetric GARCH-BEKK model, we find evidence of return and volatility spillovers from the developed to the emerging markets....

Purpose – The goal of this research is to investigate the time‐varying relationship between REITs and the stock markets in four Asian markets such as Taiwan, Hong Kong, Singapore and Japan. Design/methodology/approach – The Multivariate GARCH‐vech model is used to capture the...

This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized...