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Статті в журналах з теми "VAR-GARCH-BEKK model"
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.
Повний текст джерелаSu, 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.
Повний текст джерелаChen, 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.
Повний текст джерелаGyamerah, 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.
Повний текст джерелаSu, 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.
Повний текст джерелаVARDAR, 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.
Повний текст джерелаJin, 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.
Повний текст джерелаPan, 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.
Повний текст джерелаAl-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.
Повний текст джерелаZhou, 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.
Повний текст джерелаДисертації з теми "VAR-GARCH-BEKK model"
Charleroy, Rémy. "External shocks and monetary policy in emerging countries." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010031.
Повний текст джерелаWe investigate the conditional correlation between exchange rate and inflation by using a multivariate BEKK GARCH model. This framework is tested on 20 emerging countries independently of each other and it allows one to consider the macroeconomic variables as having a nonlinear relationship over time. We show that the less credible a country is in applying an IT framework because of its monetary objectives or its interventions in the foreign exchange rate markets, the higher the interactions between both variables are. We also show that the adoption of an inflation target allows the decoupling of variables when the inflation volatility increases, and that the estimated central bank’s reaction function explains the diminution in conditional correlation when the exchange rate or both variables volatility augments. By analyzing the evolution of exchange rate pass-through we investigate the degree of vulnerability of macroeconomic variables in BRICS since the mid-1990s when they experience an external shock. Wefocus our study on the two main theories that explain the reduction of macroeconomic variables volatility: the ”good policy” theory with the adoption by central banks of an inflation targeting framework coupled with a flexible exchange rate regime and the ”good luck” theory with the reduction of external shock persistence. The distinction between the theories is made by testing several time-varying parameters vector autoregressive models with different priors on VAR parameters for the structural changes and on the variance-covariance matrix for the stochastic volatility. Among other results, we conclude that the ”good luck” theory seems to be the dominant factor that explain the reduction in the vulnerabilities of BRICS to an external shock and that the 2008 financial crisis does not lead to a significant increase in the ERPT compared to previous crisis. The recent financial crisis has heightened the interest in the impact of financial sector developments on the macroeconomic condition of countries. By employing a rolling-window Vector Auto-Regressive method based on monthly data for a time span between January 2001 and March 2013, this article sets up a comprehensive financial conditions index for a set of major emerging countries. The index sheds light on the various triggers of financial crises during this period and captures both domestic developments as well as global spillover effects. Index dynamics exhibit an overall abrupt slowdown due to the 2007-2008 financial crisis, precipitated primarily through a global liquidity squeeze and overall financial sector strain. In some countries, rising volatility of financial conditions thereafter has substantially been sparked by nominal effective exchange rate movements. Tested on its forecasting applicability, the inclusion of macroeconomic and financial variables enables the index to also perform well as a leading indicator for business cycles
Тези доповідей конференцій з теми "VAR-GARCH-BEKK model"
Longjie, Xiao. "A study on information transfer of international crude oil futures price base on VAR-GARCH-BEKK model." In 2015 IEEE International Conference on Grey Systems and Intelligent Services (GSIS). IEEE, 2015. http://dx.doi.org/10.1109/gsis.2015.7301820.
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