Search Results - subject:"scalar BEKK"

Oil price shocks and EMU sovereign yield spreads

Filippidis, Michail; Filis, George; Kizys, Renatas - In: Energy economics 86 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012511603

Dynamic Principal Components: a New Class of Multivariate GARCH Models

Aielli, Gian Piero; Caporin, Massimiliano - Dipartimento di Scienze Economiche "Marco Fanno", … - 2015

The OGARCH specification is the leading model for a class of multivariate GARCH (MGARCH)specifications that are based on linear combinations of univariate GARCH specifications. Most MGARCH models in this class adopt a spectral decomposition of the covariance matrix, allowing for...

Persistent link: https://www.econbiz.de/10011188475

Time-varying Business Cycles Synchronisation in Europe

Degiannakis, Stavros; Duffy, David; Filis, George - Volkswirtschaftliche Fakultät, … - 2013

-countries based on scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence …

Persistent link: https://www.econbiz.de/10011107545

Testing for nonlinearity in conditional covariances

Sanhaji, Bilel - In: Journal of time series econometrics 9 (2017) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011701865

Oil price shocks and stock market returns: New evidence from the United States and China

Broadstock, David C.; Filis, George - In: Journal of International Financial Markets, … 33 (2014) C, pp. 417-433

market returns, using a Scalar-BEKK model. For this study we consider the aggregate stock market indices from two countries …

Persistent link: https://www.econbiz.de/10011189455

Oil price shocks and stock market returns : new evidence from the United States and China

Broadstock, David C.; Filis, George - In: Journal of international financial markets, … 33 (2014), pp. 417-433

Persistent link: https://www.econbiz.de/10011299813