Journal articles on the topic 'VAR-GARCH-BEKK'
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Arfaoui, Mongi, and Aymen Ben Rejeb. "Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?" International Journal of Management and Economics 46, no. 1 (June 1, 2015): 72–100. http://dx.doi.org/10.1515/ijme-2015-0022.
Full textChen, Hao, Zhixin Liu, Yinpeng Zhang, and You Wu. "The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase." Sustainability 12, no. 6 (March 23, 2020): 2517. http://dx.doi.org/10.3390/su12062517.
Full textSu, Ruixin, Jianguo Du, Fakhar Shahzad, and Xingle Long. "Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price." Sustainability 12, no. 16 (August 18, 2020): 6662. http://dx.doi.org/10.3390/su12166662.
Full textGyamerah, Samuel Asante, Bright Emmanuel Owusu, and and Ellis Kofi Akwaa-Sekyi. "Modelling the mean and volatility spillover between green bond market and renewable energy stock market." Green Finance 4, no. 3 (2022): 310–28. http://dx.doi.org/10.3934/gf.2022015.
Full textVARDAR, Gülin, Caner TAÇOĞLU, and Berna AYDOĞAN. "Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis." Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 17, no. 3 (December 1, 2022): 911–33. http://dx.doi.org/10.17153/oguiibf.1145664.
Full textSu, Jung-Bin, and Jui-Cheng Hung. "The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns." Risks 6, no. 4 (November 16, 2018): 133. http://dx.doi.org/10.3390/risks6040133.
Full textJin, Xue, Shiwei Zhou, Kedong Yin, and Mingzhen Li. "Relationships between Copper Futures Markets from the Perspective of Jump Diffusion." Mathematics 9, no. 18 (September 15, 2021): 2268. http://dx.doi.org/10.3390/math9182268.
Full textZou, Shaohui, and Tian Zhang. "Correlation and Dynamic Volatility Spillover between Green Investing Market, Coal Market, and CO2 Emissions: Evidence from Shenzhen Carbon Market in China." Advances in Civil Engineering 2022 (January 10, 2022): 1–13. http://dx.doi.org/10.1155/2022/7523563.
Full textPan, Wenjun, Huida Zhao, and Lin Miu. "An Empirical Study on Supply Chain Risk Contagion Effect Based on VAR-GARCH (1,1)–BEKK Model." Wireless Personal Communications 109, no. 2 (May 24, 2019): 761–75. http://dx.doi.org/10.1007/s11277-019-06589-3.
Full textAl-Nassar, Nassar S., and Beljid Makram. "The COVID-19 Outbreak and Risk–Return Spillovers between Main and SME Stock Markets in the MENA Region." International Journal of Financial Studies 10, no. 1 (January 4, 2022): 6. http://dx.doi.org/10.3390/ijfs10010006.
Full textZhou, Decai, Yiqing He, Lujun Hong, and Yuchen Liu. "Empirical analysis of spillover effects between China's financial markets based on five-variable VAR-GARCH-BEKK model." International Journal of Applied Systemic Studies 5, no. 4 (2014): 262. http://dx.doi.org/10.1504/ijass.2014.065691.
Full textVivi Melia Hariono and Rofikoh Rokhim. "Volatility Spillover Stock Price Index during the COVID-19 Pandemic: A Study from ASEAN on the United States and China." Proceedings of International Conference on Economics Business and Government Challenges 1, no. 1 (September 13, 2022): 212–21. http://dx.doi.org/10.33005/ic-ebgc.v1i1.22.
Full textVardar, Gulin, and Berna Aydogan. "Return and volatility spillovers between Bitcoin and other asset classes in Turkey." EuroMed Journal of Business 14, no. 3 (October 7, 2019): 209–20. http://dx.doi.org/10.1108/emjb-10-2018-0066.
Full textDo, Hung Quang, M. Ishaq Bhatti, and László Kónya. "On ASEAN capital market and industry integration: A review." Corporate Ownership and Control 13, no. 2 (2016): 8–22. http://dx.doi.org/10.22495/cocv13i2p1.
Full textBonga-Bonga, Lumengo, and Tebogo Maake. "The Relationship between Carry Trade and Asset Markets in South Africa." Journal of Risk and Financial Management 14, no. 7 (July 1, 2021): 300. http://dx.doi.org/10.3390/jrfm14070300.
Full textHung, Ngo Thai. "Return and volatility spillover across equity markets between China and Southeast Asian countries." Journal of Economics, Finance and Administrative Science 24, no. 47 (April 29, 2019): 66–81. http://dx.doi.org/10.1108/jefas-10-2018-0106.
Full textKumar, Manish. "Returns and volatility spillover between stock prices and exchange rates." International Journal of Emerging Markets 8, no. 2 (April 5, 2013): 108–28. http://dx.doi.org/10.1108/17468801311306984.
Full textDarinda, Dwika, and Fikri C. Permana. "Volatility Spillover Effects In Asean-5 Stock Market: Does The Different Oil Price Era Change The Pattern?" Kajian Ekonomi dan Keuangan 3, no. 2 (August 31, 2019): 116–34. http://dx.doi.org/10.31685/kek.v3i2.484.
Full textChen, Yufeng, Biao Zheng, and Fang Qu. "Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach." Resources Policy 65 (March 2020): 101545. http://dx.doi.org/10.1016/j.resourpol.2019.101545.
Full textYu, Lean, Rui Zha, Dimitrios Stafylas, Kaijian He, and Jia Liu. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models." International Review of Financial Analysis 68 (March 2020): 101280. http://dx.doi.org/10.1016/j.irfa.2018.11.007.
Full textWang, Wenbo, and Hail Park. "How Vulnerable Are Financial Markets to COVID-19? A Comparative Study of the US and South Korea." Sustainability 13, no. 10 (May 17, 2021): 5587. http://dx.doi.org/10.3390/su13105587.
Full textYu, Xiaoling, and Kaitian Xiao. "Dependencies and Volatility Spillovers among Chinese Stock and Crude Oil Future Markets: Evidence from Time-Varying Copula and BEKK-GARCH Models." Journal of Risk and Financial Management 15, no. 11 (October 24, 2022): 491. http://dx.doi.org/10.3390/jrfm15110491.
Full textDa Silva, Carlos Alberto Gonçalves. "Transmissão de preços da commodity soja no mercado internacional Brasil e Estados Unidos: Aplicação dos modelos vetorial autoregressivo (VAR) e GARCH-BEKK diagonal / Transmission of soybean commodity prices in the Brazil and United States international market: Application of the autoregressive vector (VAR) and GARCH-BEKK diagonal models." Brazilian Journal of Development 7, no. 11 (November 19, 2021): 106299–323. http://dx.doi.org/10.34117/bjdv7n11-323.
Full textDa Silva, Carlos Alberto Gonçalves. "Transmissão de preços da commodity soja no mercado internacional Brasil e Estados Unidos: Aplicação dos modelos vetorial autoregressivo (VAR) e GARCH-BEKK diagonal / Transmission of soybean commodity prices in the Brazil and United States international market: Application of the autoregressive vector (VAR) and GARCH-BEKK diagonal models." Brazilian Journal of Development 7, no. 11 (November 9, 2021): 103304–27. http://dx.doi.org/10.34117/bjdv7n11-109.
Full textG Nagarakatte, Sangeetha, and Natchimuthu Natchimuthu. "Impact of Brexit on bond yields and volatility spillover across France, Germany, UK, USA, and India’s debt markets." Investment Management and Financial Innovations 19, no. 3 (August 29, 2022): 189–202. http://dx.doi.org/10.21511/imfi.19(3).2022.16.
Full textIbikunle, Babatunde Habib, and Seth K. Akutson. "Volatility spill over effect of cryptocurrency prices and foreign exchange in Nigeria." Journal of Global Social Sciences 3, no. 11 (September 1, 2022): 173–97. http://dx.doi.org/10.31039/jgss.v3i11.73.
Full textLee, Yeonjeong, and Seong-Min Yoon. "Dynamic Spillover and Hedging among Carbon, Biofuel and Oil." Energies 13, no. 17 (August 25, 2020): 4382. http://dx.doi.org/10.3390/en13174382.
Full textG Nagarakatte, Sangeetha, and Natchimuthu Natchimuthu. "Return and volatility spillover between India, UK, USA and European stock markets: The Brexit impact." Investment Management and Financial Innovations 19, no. 1 (February 8, 2022): 121–34. http://dx.doi.org/10.21511/imfi.19(1).2022.09.
Full textLi, Shiyun. "Volatility Spillovers in the CSI300 Futures and Spot Markets in China: Empirical Study Based on Discrete Wavelet Transform and VAR-BEKK-bivariate GARCH Model." Procedia Computer Science 55 (2015): 380–87. http://dx.doi.org/10.1016/j.procs.2015.07.085.
Full textChen, Yufeng, Jing Xu, and Jiafeng Miao. "Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach." Resources Policy 81 (March 2023): 103296. http://dx.doi.org/10.1016/j.resourpol.2023.103296.
Full textUrak, Faruk, Abdulbaki Bilgic, Gürkan Bozma, Wojciech J. Florkowski, and Erkan Efekan. "Volatility in Live Calf, Live Sheep, and Feed Wheat Return Markets: A Threat to Food Price Stability in Turkey." Agriculture 12, no. 4 (April 16, 2022): 566. http://dx.doi.org/10.3390/agriculture12040566.
Full textLiu, Jing, Xin Ding, Xiaoqian Song, Tao Dong, Aiwen Zhao, and Mi Tan. "Research on the Spillover Effect of China’s Carbon Market from the Perspective of Regional Cooperation." Energies 16, no. 2 (January 8, 2023): 740. http://dx.doi.org/10.3390/en16020740.
Full textURAK, Faruk, Abdulbaki BILGIC, Vedat DAGDEMIR, and Huseyin OZER. "Estimating the Conditional Variance Volatilities of Beef Carcass, Lamb Carcass, and Fodder Wheat Markets in the Context of Exchange Rate Using VAR(2)- Asymmetric BEKK-GARCH (1,1) Model." Ataturk University Journal of Agricultural Faculty 53, no. 1 (March 22, 2022): 31–41. http://dx.doi.org/10.54614/auaf.2022.956575.
Full textBensafta, Kamel Malik, and Gervasio Semedo. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance." Articles 85, no. 1 (May 18, 2010): 13–76. http://dx.doi.org/10.7202/039734ar.
Full textQi, Huibo, Chang Liu, Fei Long, Xiaowei Gao, Leifang Hu, and Qitao Wu. "LINKAGE AND SPILLOVER EFFECTS OF CHINA'S CARBON MARKET AND STOCK MARKET UNDER THE BACKGROUND OF CARBON NEUTRALITY: AN ANALYSIS BASED ON INVESTOR SENTIMENT REGULATION." International Journal of Neuropsychopharmacology 25, Supplement_1 (July 1, 2022): A53. http://dx.doi.org/10.1093/ijnp/pyac032.073.
Full textAjmi, Hechem, Nadia Arfaoui, and Karima Saci. "Volatility transmission across international markets amid COVID 19 pandemic." Studies in Economics and Finance ahead-of-print, ahead-of-print (June 2, 2021). http://dx.doi.org/10.1108/sef-11-2020-0449.
Full textZeng, Hongjun, and Abdullahi D. Ahmed. "Market integration and volatility spillover across major East Asian stock and Bitcoin markets: an empirical assessment." International Journal of Managerial Finance, August 26, 2022. http://dx.doi.org/10.1108/ijmf-03-2021-0161.
Full textMajumder, Sayantan Bandhu. "Return and Volatility Spillovers Among the Thematic Indices in India." Global Business Review, March 30, 2021, 097215092199547. http://dx.doi.org/10.1177/0972150921995476.
Full textARFAOUI, NADIA, and IMRAN YOUSAF. "IMPACT OF COVID-19 ON VOLATILITY SPILLOVERS ACROSS INTERNATIONAL MARKETS: EVIDENCE FROM VAR ASYMMETRIC BEKK GARCH MODEL." Annals of Financial Economics 17, no. 01 (March 2022). http://dx.doi.org/10.1142/s201049522250004x.
Full textXu, Xiaojie. "Linear and Nonlinear Causality between Corn Cash and Futures Prices." Journal of Agricultural & Food Industrial Organization 16, no. 2 (August 22, 2018). http://dx.doi.org/10.1515/jafio-2016-0006.
Full textZhang, Yinpeng, Panpan Zhu, and Yingying Xu. "Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?" Frontiers in Public Health 9 (July 27, 2021). http://dx.doi.org/10.3389/fpubh.2021.704900.
Full textBabalos, Vassilios, Guglielmo Maria Caporale, and Nicola Spagnolo. "Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis." Empirical Economics, November 12, 2019. http://dx.doi.org/10.1007/s00181-019-01783-5.
Full textAydoğan, Berna, and Gülin Vardar. "Portfolio flows – exchange rate volatility: is there a puzzling relationship?" Journal of Economic and Administrative Sciences ahead-of-print, ahead-of-print (December 22, 2020). http://dx.doi.org/10.1108/jeas-02-2020-0021.
Full textWu, Changsong, Dequn Zhou, and Donglan Zha. "The interplay of the carbon market, the tradable green certificate market, and electricity market in South Korea: Dynamic transmission and spillover effects." Energy & Environment, September 19, 2022, 0958305X2211229. http://dx.doi.org/10.1177/0958305x221122932.
Full textURAK, Faruk, Gürkan BOZMA, and Abdulbaki Bilgiç. "Türkiye’de Buğday, Arpa, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR(1) – Asimetrik BEKK – GARCH (1, 1) Modeli ile Tahmin Edilmesi." Kahramanmaraş Sütçü İmam Üniversitesi Doğa Bilimleri Dergisi, August 31, 2018. http://dx.doi.org/10.18016/ksudobil.361995.
Full textURAK, Faruk, Abdulbaki BİLGİÇ, Vedat DAĞDEMİR, and Hüseyin ÖZER. "Türkiye’de Dana Karkas, Kuzu Karkas ve Yemlik Buğday Reel Fiyatlarının Koşullu Varyanslarındaki Oynaklığın VAR (1)-Asimetrik BEKK-GARCH (1, 1) Modeli ile Tahmin Edilmesi." Kahramanmaraş Sütçü İmam Üniversitesi Tarım ve Doğa Dergisi, November 18, 2021. http://dx.doi.org/10.18016/ksutarimdoga.vi.955565.
Full textÖZDEMİR, Ferda Nur, Faruk URAK, Abdulbaki BİLGİÇ, and Fahri YAVUZ. "Türkiye’de Koyun Eti, Besi Yemi, Benzin Reel Fiyatlarının ve Döviz Kurunun Koşullu Varyanslarındaki Oynaklığın VAR – Asimetrik BEKK – GARCH (1, 1) Modeli İle Tahmin Edilmesi." Kahramanmaraş Sütçü İmam Üniversitesi Tarım ve Doğa Dergisi, August 31, 2020. http://dx.doi.org/10.18016/ksutarimdoga.vi.631256.
Full textZeng, Hongjun, Abdullahi D. Ahmed, Ran Lu, and Ningjing Dai. "Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks." Heliyon, November 2022, e11737. http://dx.doi.org/10.1016/j.heliyon.2022.e11737.
Full textAydoğan, Berna, Gülin Vardar, and Caner Taçoğlu. "Volatility spillovers among G7, E7 stock markets and cryptocurrencies." Journal of Economic and Administrative Sciences, January 11, 2022. http://dx.doi.org/10.1108/jeas-09-2021-0190.
Full textYousaf, Imran, Hasan Hanif, Shoaib Ali, and Syed Moudud-Ul-Huq. "Linkages between gold and Latin American equity markets: portfolio implications." Journal of Economics, Finance and Administrative Science ahead-of-print, ahead-of-print (August 20, 2021). http://dx.doi.org/10.1108/jefas-04-2020-0139.
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