Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional AR...

Abstract This paper investigated the existence of contagion between S&P500 and FTSE100 stock indexes, two major exchange markets in world, due to Brexit. Brexit caused a wave volatility international financial immediate reaction US market has brought instability among investors, who remained cautious regarding unexpected unfolds over global economy. Dynamic conditional correlation model (DC...

En este trabajo, se estudia la modelación de volatilidad activos financieros mediante un enfoque bayesiano. Se utilizan modelos DCC - GARCH, para los errores estos consideran distribuciones probabilidad asimétricas y leptocúrticas, las cuales parametrizan en función asimetría el peso colas, por lo que también estiman parámetros. La estimación parámetros del modelo realizó metodología MCMC algor...

Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is one of the world's largest producers of rubber. As rubber prices are influenced by external markets, it...

When forecasts are assessed by a general loss (cost-of-error) function, the optimal point forecast is not, in general, the conditional mean, and depends on the conditional volatility – which, for stock returns, is time-varying. Our aim is to provide forecasts of daily returns of 30 DJIA stocks under a general multivariate loss function. The paper’s contributions are as follows. We discuss what ...

A signal processing technique is presented to improve the angular rate accuracy of Micro-Electro-Mechanical System (MEMS) gyroscope by combining numerous gyroscopes. Based on the conditional correlation between gyroscopes, a dynamic data fusion model is established. Firstly, the gyroscope error model is built through Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process to i...

Abstract: This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China’s stock markets for analysis. Our main objective was to examine the time-varying correlations between gold and stock and to c...

During the last decades, the financial markets volatility concept attracted the attention of the theorists and the experts in the field of finance, especially for the internationally diversified wallets. In this article, we used an asymmetric dynamic conditional correlation (DCC-GARCH (1.1)) model following the approach of Engle (2002), to test if the volatility of individual market or their re...

Using DCC-GARCH and EGARCH model, this paper finds that since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of “very weak correlation—negative correlation—enhanced negative correlation—weakening negative correlation”, but the existing research does not provide enough reasonable explanation. Therefore, this paper proposed a “key ...

This paper is the first study to examine financial contagion from U.S., Japanese and Chinese markets Asian during Global Financial Crisis (GFC) Covid-19 Pandemic Crisis. We employ DCC-EGARCH methodology daily data of stock returns 2005 2021 estimate time-varying correlations volatilities markets. Our results show that correlation between U.S. with emerging ones quite high, implying interdepende...