The monetary policy in the frame of monetary transaction through stocks market affects the stocks’ price that these prices also affect the economy with impacting consuming and investing expenses. In another word, based on the importance of monetary part in commercial banks, the effect of these policies on bank stocks has a great importance that is studied in his project. For this purpose, the d...

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...

The asymmetric price volatility transmission issue in agricultural supply chains has been ignored the previous literature. This paper applies an asymmetrical MGARCH-BEKK model to investigate with application Chinese pork market. Additionally, we use Zivot–Andrews unit root test a structural break examine whether piglet, hog, and prices have breaks. results show that pork’s market breakpoint 200...

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...

Article history: Received 10 April 2006 Received in revised form 4 August 2009 Accepted 20 August 2009 Available online 28 August 2009 This paper uses both linear and nonlinear causality tests to reexamine the causal relationship between the returns on large and small firms. Consistent with previous results, we find that large firms linearly lead small firms. We also find a significant linear c...

In the empirical analysis of nancial time series, multivariate GARCH models have been used in various forms. In most cases it is not well understood how the use of a restricted model has to be paid with loss of valuable information. We investigate the structural implications of the alternative models for the response of the conditional (co{)variances to independent shocks. The impulse response ...