J. Milke”*, T. Antonib, W.D. Apela, F. Badea bt, K. Bekk”, A. Bercuciat, H. Bliimerab, H. Bozdog”, I.M. Branc&, C. Biittnerb, A. Chilingarian d, K. Daumillerb, P. Dolla, J. Englera, F. Fefilerb, H.J. Gils”, R. Glasstetterb, R. Haeuslerb, A. Haungsa, D. Hecka, J.R. Harandelb, A. Iwanbt, K.-H. Kampertba, H.O. Klagesa, G. Maiera, H.J. Mathesa, H.J. Mayera, M. Millera, R. Obenlanda, 3. OehlschlSger...

Volatility spillover effect in international financial markets is one of the principal issues that widely attract academic and industrial scholars’ attention. Through constructing a binary GARCH-BEKK model, this study empirically tests the volatility effects among stock market, gold market, WTI crude oil futures market and spot market, and concludes that there is bidirectional volatility spillo...

A. Haungs”*, T. Antonib, W.D. Apela, F. Badea bt, K. Bekk”, A. Bercuciat, H. Bliimeratb, H. Bozdoga, I.M. Branc&, C. Biittner”, A. Chilingariand, K. Daumillerb, P. Doll”, 3. Engle?, F. Fei31era, H.J. Gilsa, R. Glasstetterb, R. Haeuslerb, D. Heck”, J.R. Hbrandelb, A. Iwanbj, K.-H. Kampertbla, H.O. Klagesa, G. Maiera, H.J. Mathes”, H.J. Mayera, J. Milkea, M. Miiller”, R. Obenlanda, J. Oehlschlgge...

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...

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...

Little attention has been paid to information transmission between the portfolios of large stocks and small stocks in the Korean stock market. This study investigates the return and volatility transmission mechanisms between large and small stocks in the Korea Exchange (KRX). This study also explores whether bad news in the large stock market leads to a volatility of the small stock market that...

هدف: تخمین شناختی تلاش برای ارائه یک پاسخ معقول براساس اطلاعات در دسترس است. هدف از این مطالعه طراحی آزمون و بررسی روایی، پایایی مقادیر هنجار آن روش: 643 نفر دانشجویان دانشگاه شهید بهشتی انجام شد. آزمون‌های شده حاضر، مرتب کردن کارت­‌های ویسکانسین، رنگ واژه استروپ حافظه فعال چند محرک پیشین به عنوان آزمون­‌های کارکرد اجرایی همزمان ارزیابی مورد استفاده قرار گرفت. همبستگی پیرسون روایی همزمان، تی مق...