To investigate the interdependence between Indian onion markets in terms of price volatility, present study was conducted four different vital India, viz. Mumbai, Nashik, Delhi and Bengaluru. The long term monthly data, from March, 2003 to September, 2015 collected website agmarknet.nic.in. We have employed VEC-MGARCH model estimate mean volatility spillover simultaneously among also examined n...

This study employs mainly the Bayesian DCC-MGARCH model and frequency connectedness methods to respectively examine dynamic correlation volatility spillover among green bond, clean energy, fossil fuel markets using daily data from 30 June 2014 18 October 2021. Three findings arose our results: First, bond market has a weak negative with (WTI oil, Brent natural gas, heating gasoline) energy mark...

  The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis....

Considering the growing importance of sustainable investments worldwide, we explore volatility transmission effects between EURO STOXX Sustainability Index and stock market indexes its stocks. Using daily index return data, during 2000–2022, covering COVID-19 pandemic, Multivariate Generalized Auto-Regressive Conditional Heteroskedasticity (MGARCH) models are used to if indices felt pandemic im...

Crude oil and natural gas are crucial to the Russian economy. Therefore, this study examined interconnections between crude price, economic policy uncertainty (EPU) over period 1994–2019 using multivariate DCC-MGARCH models. The findings show that there strong (co-movement) energy prices EPU in Russia, it might be misleading assume independence or neutrality variables. Although Russia is also a...

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices induced by economic proximity. These structured speci…cations aim at solving the curse of dimensionality problem, which limits feasibility of model-estimation to small cross-sections for unstructured models. Structured parametrizations possess the following four desirable proper...