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  • Search: subject:"Multivariate conditional volatility models"
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Year of publication
Subject
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BEKK 2 DCC 2 agricultural markets 2 definitions of spillovers 2 univariate and multivariate conditional volatility models 2 volatility and covolatility spillovers 2 Agrarmarkt 1 Agricultural market 1 Asymmetry 1 Atmospheric carbon dioxide concentration 1 Energiemarkt 1 Energy market 1 Energy markets 1 Multivariate Analyse 1 Multivariate analysis 1 Multivariate conditional volatility models 1 Shocks 1 Spillover effect 1 Spillover-Effekt 1 Spillovers 1 Univariate Analyse 1 Univariate analysis 1 Volatility 1 Volatilität 1 energy markets 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2 Undetermined 1
Author
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McAleer, Michael 3 Chang, Chia-Lin 2 Li, Yiying 2 Chan, Felix 1 Hoti, Suhejla 1
Published in...
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Discussion paper / Tinbergen Institute 1 Mathematics and Computers in Simulation (MATCOM) 1 Tinbergen Institute Discussion Paper 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
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Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi … and testing spillovers between the energy and agricultural markets has typically been based on estimating multivariate …
Persistent link: https://www.econbiz.de/10011403535
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Cover Image
Volatility spillovers between energy and agricultural markets : a critical appraisal of theory and practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi … and testing spillovers between the energy and agricultural markets has typically been based on estimating multivariate …
Persistent link: https://www.econbiz.de/10011295732
Saved in:
Cover Image
Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
Hoti, Suhejla; McAleer, Michael; Chan, Felix - In: Mathematics and Computers in Simulation (MATCOM) 69 (2005) 1, pp. 46-56
Atmospheric carbon dioxide concentrations (ACDC) are critical to the global temperature control system and climate change, with ACDC levels having increased rapidly since the start of the industrial revolution in the late 1700s, and the climate having become quite unstable with significant...
Persistent link: https://www.econbiz.de/10010870018
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