نتایج جستجو برای: bekk 1
تعداد نتایج: 2752752 فیلتر نتایج به سال:
The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. Estimations and forecasts of the covariance matrix are made for the EUR/SEK and USD/SEK, whereby the forecasts are used in a pract...
Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets
We propose sparse DCC-GARCH and BEKK-GARCH models based on L 1 ${L}_{1}$ regularization. use the to study daily return volatility correlation spillovers for 24 constituents of Bloomberg commodity index in period 2000–2018. The outperform diagonal out-of-sample terms model fit other criteria. also test whether higher visibility metals energy markets compared with agricultural commodities affects...
Our research explores how the COVID-19 pandemic has influenced asymmetric spillover effects in oil and gold markets. Through a VAR(p)-BEKK-AGARCH(1,1) model fitted to daily price data, 1) we find evidence of only from market that this effect is stronger during 2) conclude negative information shock larger impact on return volatility compared positive intensified pandemic.
Motivated by recent developments in light of the sub-prime and subsequent financial crisis we fit two different vector autoregressive generalized conditional heteroscedastic (VAR-GARCH) models to three financial indices with the aim of understanding the development of dependency structures between credit spreads and other macroeconomic variables. Our analysis includes daily quotes from June 200...
This paper investigates the extent of volatility or risk spillovers between currency carry trade and asset markets, namely equity bond in South Africa to infer connectivity two markets. The operation examined this involves strategies, both which use African rand as investment currency, with U.S. dollar Japanese yen funding currencies. vector autoregressive BEKK-Generalised Autoregressive Condit...
A. Haungs, M. Risse, W.D. Apel, F. Badea, K. Bekk, J. Blümer, H. Bozdog, K. Daumiller, P. Doll, R. Engel, J. Engler, H.J. Gils, D. Heck, J.R. Hörandel, T. Huege, H.O. Klages, G. Maier, H.J. Mathes, H.J. Mayer, J. Milke, M. Müller, S. Nehls, R. Obenland, J. Oehlschläger, S. Ostapchenko, T. Pierog, S. Plewnia, H. Rebel, M. Roth, H. Schieler, M. Stümpert, H. Ulrich, J. van Buren, A. Weindl, J. Woc...
یکی از ویژگی های بازار نفت خام، نوسانات زیاد قیمتها می باشد که سبب ایجاد ریسک قیمت می-شود. از آنجایی که در اقتصاد ایران بخش نفت سهم زیادی از تولید ناخالص داخلی را به خود اختصاص داده است و ریسک قیمت آن اثرات منفی بر پیکره اقتصاد کشور وارد می کند، لذا مدیریت و پوشش این ریسک به وسیله راهکارهای مناسب ضروری به نظر می رسد. یکی از راهکارهای مقابله با ریسک استفاده از ابزار مشتقه مالی و ورود به معاملات ...
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