Multivariate GARCH models with spherical parameterizations: an oil price application

Abstract In popular Baba-Engle-Kraft-Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity models, the large number of parameters and the requirement of positive definiteness of the covariance and correlation matrices pose some...

وصف كامل

التفاصيل البيبلوغرافية
الحاوية / القاعدة:	Financial Innovation
المؤلفون الرئيسيون:	Luca Vincenzo Ballestra, Riccardo De Blasis, Graziella Pacelli
التنسيق:	مقال
اللغة:	الإنجليزية
منشور في:	SpringerOpen 2025-01-01
الموضوعات:	BEKK Cholesky-GARCH Crude oils DCC Exchange rates Spherical parameterization
الوصول للمادة أونلاين:	https://doi.org/10.1186/s40854-024-00683-7

مواد مشابهة

Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
حسب: Manabu Asai, وآخرون
منشور في: (2021-05-01)

Kripto Para Piyasasının Borsa İstanbul Endeksleri Üzerindeki Etkileri
حسب: Bekir Tamer Gökalp
منشور في: (2022-06-01)

Volatility and spillover analysis between cryptocurrencies and financial indices: a diagonal BEKK and DCC GARCH model approach in support of SDGs
حسب: Iulia Cristina Iuga, وآخرون
منشور في: (2024-12-01)

THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE
حسب: Kago Matlhaku, وآخرون
منشور في: (2024-12-01)

The implication of cryptocurrency volatility on five largest African financial system stability
حسب: Tonuchi E. Joseph, وآخرون
منشور في: (2024-01-01)

The Effect of Crude Oil Price Volatility on Volatility in Tehran Stock Market GARCH Multivariate Approach
حسب: Mohammad Hassan Fotros, وآخرون
منشور في: (2016-03-01)

Examination of Dynamic Correlation between Major Assets in Iran by DCC-GARCH Approach
حسب: Shadi Amiri, وآخرون
منشور في: (2015-06-01)

Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models
حسب: Salim Hamza Ringim, وآخرون
منشور في: (2022-05-01)

Shifting the paradigm for securing efficient management of exchange rate in Nigeria: A GARCH and BEKK-MGARCH analysis
حسب: Kolawole Subair
منشور في: (2023-12-01)

Study of Volatility Spillover from Crude Oil Futures to Grain Futures Across Multiple Cycles Based on the EEMD-BEKK-GARCH Model
حسب: Xizhao Wang, وآخرون
منشور في: (2024-12-01)

Price Leadership and Volatility Linkages between Oil and Renewable Energy Firms during the COVID-19 Pandemic
حسب: Riccardo De Blasis, وآخرون
منشور في: (2021-05-01)

SUSTAINABILITY OF EXCHANGE RATES AND CRUDE OIL PRICES CONNECTION WITH COVID-19: AN INVESTIGATION FOR BRICS
حسب: PARUL BHATIA
منشور في: (2021-10-01)

Econometric modeling of euro, British pound and Japanese yen exchange rates against dollar: Multivariate GARCH approach
حسب: Kovačević Radovan
منشور في: (2017-01-01)

Volatility Transmission of Barley World Price to the Domestic Market of Iran and the Role of Iran Mercantile Exchange; an Application of BEKK Model
حسب: Behzad Fakari Sardahaie, وآخرون
منشور في: (2019-09-01)

Dependencies and systemic risk in the European insurance sector: New evidence based on Copula-DCC-GARCH model and selected clustering methods
حسب: Anna Denkowska, وآخرون
منشور في: (2020-09-01)

A Network-Based Analysis for Evaluating Conditional Covariance Estimates
حسب: Carlo Drago, وآخرون
منشور في: (2023-01-01)

DCC-GARCH Modeli Yardımıyla İslami Bankalar Arasındaki Etkileşimin Belirlenmesi
حسب: Semra Taspunar Altuntaş, وآخرون
منشور في: (2023-07-01)

VOLATILITIES AND TRENDS OF GARLIC PRICE BEFORE AND ENTERING THE COVID-19 PANDEMIC IN NTT
حسب: Nendissa D.R., وآخرون
منشور في: (2020-09-01)

Analyzing the Causality and Dependence between Exchange Rate and Real Estate Prices in Boom-and-Bust Markets: Quantile Causality and DCC Copula GARCH Approaches
حسب: Woraphon Yamaka, وآخرون
منشور في: (2022-03-01)

Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
حسب: Ju. S. Trifonov, وآخرون
منشور في: (2022-04-01)

Interconnected Markets: Unveiling Volatility Spillovers in Commodities and Energy Markets through BEKK-GARCH Modelling
حسب: Tetiana Paientko, وآخرون
منشور في: (2024-04-01)

Investigating the price volatility spillover effects in the poultry industry inputs market and the egg market in Iran: using the multivariate DCC-GARCH model
حسب: Akram Javadi, وآخرون
منشور في: (2024-06-01)

Factores que influyen en la demanda y contagio de volatilidad del limón de origen mexicano importado por el mercado de los EUA
حسب: Renato Francisco González Sánchez, وآخرون
منشور في: (2025-02-01)

Connectedness Analysis And Investment Strategy Between Stablecoins And International Stock Indices
حسب: Ika Maradjabessy, وآخرون
منشور في: (2024-10-01)

Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
حسب: Kuo-Shing Chen, وآخرون
منشور في: (2022-05-01)

Analyzing the impact of remittance, FDI and inflation rate on GDP: A comparative study of Bangladesh, Pakistan and Sri-Lanka using VAR and BEKK-GARCH approach
حسب: Fariea Nazim Jui, وآخرون
منشور في: (2024-06-01)

Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets
حسب: Theodosios Perifanis, وآخرون
منشور في: (2018-10-01)

Bitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge: modeling with a bivariate GARCH model
حسب: Zheng Nan, وآخرون
منشور في: (2019-06-01)

Volatility integration of crude oil, gold, and interest rates on the exchange rate: DCC GARCH and BEKK GARCH applications
حسب: Shailesh Rastogi, وآخرون
منشور في: (2024-12-01)

Proposing a model for transmitting oil market fluctuations to parallel financial markets (DCC-GARCH approach)
حسب: AHMAD FARHADI, وآخرون
منشور في: (2022-09-01)

Shock Dependence and Volatility Transmission Between Crude Oil and Stock Markets: Evidence from Pakistan
حسب: Sagheer Muhammad, وآخرون
منشور في: (2016-10-01)

产业链视角下油料产品价格溢出效应的对比分析 ——基于三元VAR-BEKK-GARCH(1,1)模型Comparative analysis of price spillover effect of oilseed products from the perspective of industry chain：Based on trivariate VAR-BEKK-GARCH(1,1) model
حسب: 张璐1，刘成2，冯中朝1,3 ZHANG Lu1, LIU Cheng2, FENG Zhongchao1,3
منشور في: (2024-05-01)

Volatility Transmission between Stock and Foreign Exchange Markets: Evidence from Nigeria
حسب: Emenike Kalu O.
منشور في: (2014-05-01)

On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
حسب: Jong-Min Kim, وآخرون
منشور في: (2020-10-01)

Fuel Price Volatility and Asymmetric Transmission of Crude Oil Price Changes to Fuel Prices
حسب: Iuliana ZLATCU, وآخرون
منشور في: (2015-12-01)

Bitcoin ile Vadeli İşlemler Piyasası Arasındaki İlişkinin Analizi
حسب: Ethem Kılıç
منشور في: (2022-07-01)

Volatility spillovers and conditional correlations between oil, renewables and stock markets: A multivariate GARCH-in-mean analysis
حسب: Wenxue Wang, وآخرون
منشور في: (2025-01-01)

Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH
حسب: Esmaiel Abounoori, وآخرون
منشور في: (2018-09-01)

The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets
حسب: Nasser Khiabani, وآخرون
منشور في: (2014-03-01)

Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model
حسب: O-Chia Chuang, وآخرون
منشور في: (2022-04-01)