بازار جهانی محصولات کشاورزی استراتژیک مانند کنجاله سویا و گندم، تحت تاثیر نوسانات قیمت نفت قرار دارد و این موضوع بر تصمیمات سیاست گذاران و تولیدکنندگان این حوزه تاثیرگذار است. در این مقاله، با توجه به اهمیت ریسک های وارد شده بر قیمت نفت، سعی شده است تا تاثیر ریسک بازار نفت بر بازار محصولات کشاورزی مشخص گردد. به همین دلیل، بازده روزانه قیمت جهانی کنجاله سویا و گندم به عنوان مهمترین نهاده های کشا...

Forecasting Value-at-Risk (VaR) for financial portfolios is a staggering task in financial risk management. The turmoil in financial markets as observed since September 2008 called for more complex VaR models, as ”standard” VaR approaches failed to anticipate the collective market movements faced during the financial crisis. Hence, recent research on portfolio management mainly focussed on mode...

This study attempts to investigate the transmission of market-wide volatility between the equity markets and bond markets of Japan and the U.S. To measure the volatility transmission, the BEKK method, a decomposition approach of the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. The time series analysis provides evidence to the...

In this paper we propose a new multivariate GARCH model with timevarying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By impos...

Este estudo tem por objetivo principal verificar a interdependencia e assimetria na transmissao de risco via choques volatilidades nos precos entre os mercados bovinos corte em ponto abate dos paises membros efetivos do Mercosul. Isso implica analisar volatilidade cada mercado avaliar como um choque especifico se propaga para si proprio outros alteracoes volatilidade. Assim sendo, optou-se pela...

As the world’s largest exporter and second-largest importer, China has made exchange rate stability a top priority for its economic growth. With development over decades, however, now holds excess dollar reserves that have suffered huge paper loss because of quantitative easing in United States. In this reality, been provoked into speeding RMB internationalization as strategy to reduce cost get...

This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators to predict specific tourism and economic environmental indicators for Taiwan. The foundation of the T...

Purpose The authors aim to examine the mean and volatility linkages between gold market Latin American equity markets in entire sample period two crises periods, namely US financial crisis Chinese crash. Design/methodology/approach To return spillovers, employ VAR-BEKK-GARCH model on daily data of four emerging which include Peru, Chile, Brazil Mexico, ranges from January 2000 June 2018. Findin...

The empirical evidence suggests that stock returns in the emerging technology environment exhibit high return volatility. fundamental aim of article is to investigate dynamic, time series properties correlations between daily log and magnitude volatility transmissions from technologies Spanish banking sector, market portfolio finance industry EU area. Using for performance variables an equally ...

Macroeconomic stability is an objective emerging economy desired to achieve but oil price shocks and fluctuations in nominal exchange rates tend restrain the ability of these economies such macroeconomic balance. Regrettably, are prone have structural breaks defined periods. We therefore, implemented a bivariate diagonal BEKK model, Zivot-Andrews Bai-Perron breakpoint tests evaluate effect pres...