Search Results - subject:"Multivariate Generalized Autoregressive Conditional Heteroskedasticity"

Structural volatility impulse response analysis

Fengler, Matthias; Polivka, Jeannine - 2022

Persistent link: https://www.econbiz.de/10013399810

The relationship between global wealth and happiness : an analytical study of returns and volatility spillovers

Nguyen Khac Quoc Bao; Van Le - In: Borsa Istanbul Review 21 (2021), pp. S80-S89

This paper explores the relationship between global wealth and happiness. We employ a bivariate generalized autoregressive conditional heteroskedasticity framework for global wealth and happiness represented, respectively, by FTSE All-World and Twitter's Daily Happiness Sentiment indexes from...

Persistent link: https://www.econbiz.de/10012817718

Estimation of volatility and correlation with multivariate generalized autoregressive conditional heteroskedasticity models : an application to Moroccan stock markets

Belasri, Yassine; Ellaia, Rachid - In: International journal of economics and financial issues … 7 (2017) 2, pp. 384-396

Persistent link: https://www.econbiz.de/10011789279

Exploration of the foreign exchange forward premiums and the spot exchange return : a multivariate approach

Hamzaoui, Nessrine; Regaieg, Boutheina - In: International journal of economics and financial issues … 6 (2016) 2, pp. 694-702

Persistent link: https://www.econbiz.de/10011697286

Market interactions in gold and stock markets : evidences from Saudi Arabia

Afsal, E. M.; Haque, Mohammad Imdadul - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1025-1034

Persistent link: https://www.econbiz.de/10011697567

Carbon future price return, oil future price return and stock index future price return in the U.S.

Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662

Persistent link: https://www.econbiz.de/10011550607

Real exchange rate returns and real stock price returns in the stock market of Malaysia

Wong, Hock Tsen - In: The Singapore economic review : journal of the Economic … 64 (2019) 5, pp. 1319-1349

Persistent link: https://www.econbiz.de/10012295208

Market interdependence and volatility transmission among major crops:

Gardebroek, Cornelis; Hernandez, Manuel A.; Robles, Miguel - International Food Policy Research Institute (IFPRI) - 2014

agricultural commodities. We follow a Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) approach to …

Persistent link: https://www.econbiz.de/10010850569