Search Results - subject:"Multivariate GARCH models"

Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures

Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265

Persistent link: https://www.econbiz.de/10012216958

An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models

El Jebari, Ouael; Hakmaoui, Abdelati - In: International journal of computational economics and … 10 (2020) 3, pp. 291-307

Persistent link: https://www.econbiz.de/10012271063

Affine multivariate GARCH models

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: Journal of banking & finance 118 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012521059

Hedging Petroleum Futures with Multivariate GARCH Models

Bunnag, Tanattrin - In: International Journal of Energy Economics and Policy 5 (2015) 1, pp. 105-120

ratios. The data used in this study was the daily data from 2009 to 2014. The three Multivariate GARCH models, namely the VAR …

Persistent link: https://www.econbiz.de/10011122118

Financial Contagion in Latin America

Bejarano-Bejarano, Luis V.; Gomez-Gonzalez, Jose E.; … - BANCO DE LA REPÚBLICA - 2015

This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin American financial markets to shocks originated in the United States and Europe. Using daily data on stock market returns for the period comprised between July 4th, 2001 and...

Persistent link: https://www.econbiz.de/10011276544

Financial Contagion in Latin America

Bejarano-Bejarano, Luis V.; Gomez-Gonzalez, Jose E.; … - Banco de la Republica de Colombia - 2015

Persistent link: https://www.econbiz.de/10011277160

Hedging petroleum futures with multivariate GARCH models

Tanattrin Bunnag - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 1, pp. 105-120

Persistent link: https://www.econbiz.de/10011287161

Volatility transmission in oil futures markets and carbon emissions futures

Tanattrin Bunnag - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 3, pp. 647-659

Persistent link: https://www.econbiz.de/10011455969

Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, … - In: The North American journal of economics and finance : a … 49 (2019), pp. 104-120

Persistent link: https://www.econbiz.de/10012269157

Investigating volatility transmission and hedging properties between Bitcoin and Ethereum

Beneki, Christina; Koulis, Alexandros; Kyriazis, Nikolaos A. - In: Research in international business and finance 48 (2019), pp. 219-227

Persistent link: https://www.econbiz.de/10012135874

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