The major objectives of this study are twofold. The first objective is to examine the dynamic volatility and volatility transmission in a multivariate setting using the VAR(1)-GARCH(1,1) model for three major sectors, namely, Service, Banking and Industrial/or Insurance, in four Gulf Cooperation...

This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models. Such inclusion increases the significant direct and indirect past shock and volatility effects on future volatility...

This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (i.e., gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio...

This paper examines volatility, volatility spillovers, optimal portfolio weights and hedging for systems that include the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil - by utilizing four symmetric and asymmetric...

There is an apparent theoretical discrepancy between the effects of monetary policy shocks on economies with differently competitive banking sectors. We employ cross-country data to investigate this hypothesis with two different approaches. First, using aggregate data we analyze the correlation...

This paper firstly summarized experience of Vietnam and Taiwan in developing modern agricultural manorial economy. The manorial economy of Vietnam is characterized by intensive and specialized operation and high marketization and wide employment of labors, while the experience of Taiwan can be...

Recent empirical studies have shown an increasing co-movement between fund and market liquidity, which is driven by common factors such as monetary shocks. Modeling this co-movement becomes desirable to evaluate policies relating to liquidity and financial instability. This paper establishes a...