The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer et al., 2017 show that univariate...
As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong r...
This study examines volatility transmission between major European indices (CAC 40, DAX, FTSE MIB, IBEX 35, EURO STOXX 50) and Tunisia’s TUNINDEX amid global crises (2008 financial crisis, COVID-19, Russo-Ukrainian war). Using GARCH(1,1) and BEKK mod...
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetr...
Food commodities and energy bills have experienced rapid undulating movements and hikes globally in recent times. This spurred this study to examine the possibility that the shocks that arise from fluctuations of one market spill over to the other an...
Against the backdrop of increasing financialization of grain markets, the cross-cycle and cross-market contagion among commodities has been intensifying. To investigate the risk spillover among commodities across different cycles, this study selected...
This paper examines the effects of the Standard and Poor’s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer ser...
Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be ca...
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed...
This study examines how the COVID-19 pandemic impacted stock market volatility and interconnectedness between India and other selected global economies. The analysis, using data from 2016 to 2024, reveals a substantial rise in volatility within both...
This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models. Specifically, we further measure Bitcoin...
Recent research shows that the efforts to limit climate change should focus on reducing the emissions of carbon dioxide over other greenhouse gases or air pollutants. Many countries are paying substantial attention to carbon emissions to improve air...
Based on the prices selected from European Energy Exchange (EEX) from 2013 to 2018, we investigate the inter-correlation of carbon spot and futures markets. Specifically, we adopt the widely used DCC-GARCH model and VAR-BEKK-GARCH model to conduct a...
This paper investigates co-movements among the Chinese stock market, Shanghai International Energy Exchange (INE) crude oil futures and West Texas Intermediate (WTI) crude oil futures. We use Copula models to capture tail dependencies and employ the...
Grounded in the Granger causality test, vector autoregression (VAR) model, and BEKK-GARCH model, our current study aims to examine the effect of mean and volatility spillover between the United States (US) economic policy uncertainty (EPU) and West T...
Using a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the Korean stock market. Empirical results suggest that shocks and volatility in Dubai oil prices are significantly transmitted into twent...
The modeling and forecasting of dynamically varying covariances has received a great deal of attention in the literature. The two most widely used conditional covariances and correlations models are BEKK and the DCC. In this paper, we advance a new m...
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 cau...
In this study, we carry out a comparative analysis between the US and South Korea, with a special attention to three key areas, including the stock market, the currency market, and the bond market. By employing a composite model, VAR-GARCH-BEKK, we w...
This paper investigates the link between commodity price volatility and stock market indices in Nigeria, Ghana, and Côte d’Ivoire, focusing on commodities such as oil, cocoa, and gold over a daily period from 2 January 2020 to 31 December...
A considerable number of studies have examined the relationship between global prices and local prices in food-importing nations, but the linkages between international prices and the producer prices of large agricultural exporters have been largely...
This paper explores the transmission of volatility from Brent oil price evolution to the stock returns of 7 MENA countries, encompassing three importers and four exporters, after excluding four initial countries using the ARCH test. Employing the GAR...
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the in...
The contagious COVID-19 disease not only brought about a global health crisis but also a disruption in the global economy. The uncertainty levels regarding the impact of the disease increased volatility. This study analyses stock market volatility an...
This paper examines and confirms the varying volatility of the relationship between cryptocurrency and currency markets at different time periods, such as when the market encountered multiple risk events including the US–China trade war, COVID-...
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volat...
As the world’s largest exporter and second-largest importer, China has made exchange rate stability a top priority for its economic growth. With development over decades, however, China now holds excess dollar reserves that have suffered a huge paper...
After the official launch of China’s unified carbon market, the potential for carbon emission reduction is huge. The pilot regional markets urgently need to be connected with the national carbon market to form a regional synergy and linkage mechanism...
Network public opinion plays a crucial role in the behavior and decision making of various stakeholders, including farmers, middlemen, and consumers. It also affects the price fluctuations of small-scale agricultural products. Understanding the trans...
The volatility of meat prices affects the accessibility and even food security of some consumers in Turkey. This study analyses the prices of selected livestock and a major feed component, wheat, as well as the exchange rate of the domestic currency...
Hardwood lumber is the principal part of the global hardwood timber trade. China has become the largest importer of hardwood lumber in the world. However, China’s hardwood lumber imports are affected by price volatility. Thus, we investigated the pri...
Scenario analysis combined with system and market modelling is a well-established method to evaluate technological and societal developments and their impacts on future energy pathways. This paper presents a process-oriented method for developing con...
Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the...
The main purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The prices of oil and its interactions with financial ma...
This study examines the intricate relationships between cryptocurrency and various uncertainties related to economic policy and global risk factors. It explores the interactions between cryptocurrency and global risk factors, comparing these with the...
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK represent...
This paper analyzes the price correlation effect between domestic and foreign copper futures contracts. The VAR-BEKK-GARCH (1,1) spillover effect model and the BN-S class non-parametric model based on the jumping perspective are used. The co-integrat...
Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in on...
This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets, namely the equity and bond markets, in South Africa to infer the extent of the connectivity between the two markets. The carry tra...
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this...
This study utilizes the seven bivariate generalized autoregressive conditional heteroskedasticity (GARCH) models to forecast the out-of-sample value-at-risk (VaR) of 21 stock portfolios and seven currency-stock portfolios with three weight combinatio...
This study utilizes a bivariate BEKK-EGARCH model with the setting of a structural break to investigate whether the interactions between stock indices in emerging and developed markets are different in terms of region, emerging stock indices, and sub...
As a new species in the financial ecosystem, internet finance has significantly impacted traditional finance and has improved the diversity and ended the long-term stability of the financial ecosystem. From the perspective of the interaction between...
Financial stocks in the industry chain interact notably because of close economic and technical relationships. Some participants pay particular attention to one industry chain and are concerned with different investment horizons. The motivation for t...
In recent years, there has been growing interest in the market interactions between carbon (or clean/renewable energy) and traditional fossil energy such as coal and oil, but few studies have discussed their dynamic volatility spillover and time-vary...
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic....
Air pollution spillover can cause air pollution to negatively affect neighboring regions. The structure of air pollution spillover varies with changes in season and space. Researching the spatial and seasonal characteristics of air pollution spillove...
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese...
The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility spillovers; however, empirical evidence about sectoral-specific spillover effects in emerging markets is scarce and hard to find. Existing...
With the rapid development of electricity–carbon markets and global renewable energy deployment, accurately quantifying and fairly compensating carbon reduction benefits of energy has become crucial for low-carbon energy transformation. Current...
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