Статті в журналах з теми "VAR-GARCH-BEKK model"
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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.
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 джерелаKumar, 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.
Повний текст джерелаVivi 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.
Повний текст джерелаHung, 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.
Повний текст джерелаBonga-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.
Повний текст джерелаDarinda, 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.
Повний текст джерелаYu, 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.
Повний текст джерелаWang, 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.
Повний текст джерелаLi, 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.
Повний текст джерелаLee, 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.
Повний текст джерелаURAK, 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.
Повний текст джерелаLiu, 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.
Повний текст джерелаZou, 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.
Повний текст джерелаDo, 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.
Повний текст джерелаYu, 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.
Повний текст джерелаDa 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.
Повний текст джерелаDa 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.
Повний текст джерелаG 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.
Повний текст джерелаG 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.
Повний текст джерелаQi, 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.
Повний текст джерелаAjmi, 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.
Повний текст джерелаXu, 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.
Повний текст джерелаARFAOUI, 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.
Повний текст джерелаMajumder, 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.
Повний текст джерелаZhang, 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.
Повний текст джерелаBabalos, 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.
Повний текст джерелаWu, 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.
Повний текст джерелаAydoğan, 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.
Повний текст джерелаYousaf, 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.
Повний текст джерелаURAK, 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.
Повний текст джерелаURAK, 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.
Повний текст джерелаÖZDEMİR, 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.
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