Search Results - subject:"Multivariate GARCH model"

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/10014494443

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/10012522512

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

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

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

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

Big data analysis of volatility spillovers of brands across social media and stock markets

Dieijen, Myrthe van; Borah, Abhishek; Tellis, Gerard J.; … - In: Industrial marketing management : the international … 88 (2020), pp. 465-484

Persistent link: https://www.econbiz.de/10012285387

Optimal hedging strategies for natural gas

Zhou, Changfeng; Cai, Huan - In: International journal of economics and finance 12 (2020) 8, pp. 1-11

Persistent link: https://www.econbiz.de/10012425888