Search Results - subject:"Multivariate GARCH model"

Interconnection between crude oil prices and exchange rate : unleashing the evidence from United Kingdom FTSE

Nasseredine, Hassan; Kayani, Farrukh Nawaz; Kayani, … - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 4, pp. 789-796

Persistent link: https://www.econbiz.de/10015472092

Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA) : una evidencia del grado de integración

Fuentes Vélez, Mariana; Pinilla Barrera, Alejandro - In: Revista de métodos cuantitativos para la economía y … 31 (2021), pp. 301-328

This paper presents the progress in the integration of the Latin American Integrated Market (MILA by its Spanish acronym) by studying the dynamic relationship between the volatilities of the markets that conform it: Colombia, Mexico, Peru and Chile. To achieve this objective, data between 2002...

Persistent link: https://www.econbiz.de/10012522512

Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): Una evidencia del grado de integración

Fuentes Vélez, Mariana; Pinilla Barrera, Alejandro - In: Revista de Métodos Cuantitativos para la Economía y … 31 (2021), pp. 301-328

Persistent link: https://www.econbiz.de/10014494443

The US-China trade war and the volatility linkages between energy and agricultural commodities

Cheng, Natalie Fang Ling; Hasanov, Akram Shavkatovich; … - In: Energy economics 120 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014284707

Bayesian comparison of bivariate copula-GARCH and MGARCH models

Mokrzycka, Justyna - In: Central European journal of economic modelling and … 11 (2019) 1, pp. 47-71

Persistent link: https://www.econbiz.de/10012294555

Examining the spillover effects of volatile oil prices on Iran's stock market using wavelet-based multivariate GARCH model

Mamipour, Siab; Yazdani, Sanaz; Sepehri, Elmira - In: Journal of economics and finance : JEF 46 (2022) 4, pp. 785-801

Persistent link: https://www.econbiz.de/10013442234

Financial market linkages and the sovereign debt crisis

Campos-Martins, Susana; Amado, Cristina - In: Journal of international money and finance 123 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10015549885

Half-day trading and spillovers

Chen, Yifan; Yu, Limin; Gang, Jianhua - In: Frontiers of business research in China : selected … 15 (2021) 1, pp. 42-63

Persistent link: https://www.econbiz.de/10012595106

A residual-based test for multivariate GARCH models using transformed quadratic residuals

Ke, Rui; Jia, Jing; Tan, Changchun - In: Economics letters 206 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012886565

Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models

Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012301075