Bu çal??mada, benzin ve ithalat d??sal de?i?kenleri kullan?larak, Türkiye’de dana kuzu karkas etleri ile yemlik bu?day reel fiyatlar? aras?ndaki uzun dönem oynakl?k ili?kisi simetrisi 2005:01-2019:06 dönemi günlük verilerinden yararlan?larak VAR (1)-Asimetrik BEKK-GARCH (1, 1) Modeli kullan?larak analiz edilmi?tir. Çal??mada, piyasas?nda meydana gelen oynakl?klar?n piyasalar?ndaki oynakl?klar? ...

abstract in this research by using a synchronous equivalents system, the functions of supply and demand of any kind of meat and corn in fars province, iran are considered. the purpose of this study is to predict the functions of supply and the price of meat and corn, recognition and analysis of effective issued on supply and price of this sections, considering the effect of shocks and the cross...

The impact of news releases related to the inflation targeting regime on financial market is analyzed by estimating a bivariate VAR GARCH-BEKK-in-mean model. We use daily data, from January 2006 May 2017, stock prices index (IBOVESPA), exchange rate (BRL/USD) and interbank deposit (DI360). developed positive negative measure based Caporale et al. (2016) (2018). Although literature subject vast,...

Þrátt fyrir fjölda svefnrannsókna á undanförnum árum er enn margt huldu um útbreiðslu svefnvenja meðal ungmenna. Nægur nætursvefn mikilvægur þroska, heilsu og námsgetu ungs fólks. Markmið rannsóknarinnar var að skoða hvort svefnlengd íslenskra skólanema samræmdist svefnráðleggingum, hver meðalsvefnlengd nemendanna væri munur tíðni ráðlagðs svefns milli einstakra hópa nemenda.Landskönnunin „Heil...

This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets based on four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. The GARCH-X and the BEKK GARCH-X models are uniquely different from the other...

Abstract Estimating time-varying conditional covariance matrices of financial returns play important role in portfolio analysis, risk management, and econometrics research. The availability high-frequency data can provide an additional source for dynamic modeling. In this paper, we propose to use the information asset return vector realized measures simultaneously develop a new matrix model. We...

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From definition RBEKK, unconditional covariance matrix is estimated in first step rotate observed variables order have identity for its sample matrix. In second step, remaining parameters are by maximizing quasi-log-likelihood function. For this quasi-maximum likeli...

Multivariate GARCH (MGARCH) models are usually estimated under multivariate normality. In this paper, for non-elliptically distributed financial returns, we propose copula-based multivariate GARCH (C-MGARCH) model with uncorrelated dependent errors, which are generated through a linear combination of dependent random variables. The dependence structure is controlled by a copula function. Our ne...