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Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models

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  1. Chia-Lin Chang & Michael Mcaleer, 2012. "Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, September.
  2. Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," Econometric Institute Research Papers EI 2010-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Sayantan Bandhu Majumder & Ranjanendra Narayan Nag, 2018. "Shock and Volatility Spillovers Among Equity Sectors of the National Stock Exchange in India," Global Business Review, International Management Institute, vol. 19(1), pages 227-240, February.
  4. R. REYTIER & A. Blanes & Q. Gaucher & S. Thiam & P. Debled, 2015. "Behavior of Covariance Matrices with Equi-Correlation Approach," Proceedings of International Academic Conferences 2805027, International Institute of Social and Economic Sciences.
  5. Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
  6. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," JRFM, MDPI, vol. 6(1), pages 1-25, October.
  7. Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone, 2022. "Identification of structural multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 212-227.
  8. Alina Zaharia, 2021. "Estimation of Correlation between Capital Markets. Analysing the case of Central and Eastern European markets in the context of the COVID-19 pandemic," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 13(1), pages 61-78, June.
  9. Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Sustainability, MDPI, vol. 9(10), pages 1-22, October.
  10. Pedersen, Rasmus Søndergaard, 2016. "Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments," Econometric Theory, Cambridge University Press, vol. 32(2), pages 498-531, April.
  11. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  12. Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2016. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 209-220.
  13. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  14. Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016. "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers EI2016-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  15. Rodrigue Dossou-Cadja, 2024. "The 1992-93 EMS Crisis and the South: Lessons from the Franc Zone System and the 1994 CFA Franc Devaluation," Working Papers 0246, European Historical Economics Society (EHES).
  16. McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  17. Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, vol. 12(2), pages 1-9, April.
  18. Fengming Qin & Junru Zhang & Zhaoyong Zhang, 2018. "RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan," Risks, MDPI, vol. 6(4), pages 1-26, October.
  19. Ana I. Sanjuán-López & Philip J. Dawson, 2017. "Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(3), pages 822-838, September.
  20. Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 87-103.
  21. Shawkat M.Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," Working Papers in Economics 10/33, University of Canterbury, Department of Economics and Finance.
  22. Broadstock, David C. & Cao, Hong & Zhang, Dayong, 2012. "Oil shocks and their impact on energy related stocks in China," Energy Economics, Elsevier, vol. 34(6), pages 1888-1895.
  23. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
  24. Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.
  25. Manabu Asai & Michael McAleer, 2017. "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
  26. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010. "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, vol. 32(6), pages 1445-1455, November.
  27. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  28. Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.
  29. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  30. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  31. Asl, Mahdi Ghaemi & Canarella, Giorgio & Miller, Stephen M., 2021. "Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies," Resources Policy, Elsevier, vol. 71(C).
  32. Lv, Xin & Lien, Donald & Yu, Chang, 2020. "Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 85-100.
  33. Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  34. Chang, Chia-Lin & Hsu, Hui-Kuang & McAleer, Michael, 2013. "Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 519-534.
  35. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
  36. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Amaral, Teodosio Perez, 2013. "The rise and fall of S&P500 variance futures," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 151-167.
  37. Martin T. Bohl & Badye Essid & Pierre L. Siklos, 2018. "Short-Selling Bans and the Global Financial Crisis: Are They Interconnected?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 64(2), pages 159-177.
  38. V. Lakshina V. & K. Lapshina A. & В. Лакшина В. & К. Лапшина А., 2016. "Сравнительный Анализ Стратегий Хеджирования Фьючерсами Портфеля Ценных Бумаг // Comparative Analysis Of Strategies For Hedging A Securities Portfolio With Futures," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(5), pages 105-114.
  39. Jung-Bin Su, 2020. "The Implementation of Asset Allocation Approaches: Theory and Evidence," Sustainability, MDPI, vol. 12(17), pages 1-28, September.
  40. Lerskullawat, Polwat, 2019. "Hedging Effectiveness on the Thailand Futures Exchange Market," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(2), December.
  41. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
  42. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2017. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(1), pages 78-129, December.
  43. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
  44. Hussein Hassan & Minko Markovski & Alexander Mihailov, 2023. "A TGARCH Quantification of the Average Effect of COVID-19 Cases on Share Prices by Sector: Comparing the US and the UK," Economics Discussion Papers em-dp2023-15, Department of Economics, University of Reading.
  45. Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  46. Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers EI2016-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  47. Carlo Drago & Andrea Scozzari, 2022. "Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis," Papers 2202.02197, arXiv.org.
  48. R. Khalfaoui & M. Boutahar, 2012. "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers halshs-00793068, HAL.
  49. Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
  50. Dimitrios P. Louzis & Angelos T. Vouldis, 2013. "A financial systemic stress index for Greece," Working Papers 155, Bank of Greece.
  51. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
  52. Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
  53. Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022. "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  54. Riccardo Blasis & Luca Galati & Alexander Webb & Robert I. Webb, 2023. "Intelligent design: stablecoins (in)stability and collateral during market turbulence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
  55. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
  56. Aielli, Gian Piero & Caporin, Massimiliano, 2014. "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 556-576.
  57. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
  58. Carlo Drago & Andrea Scozzari, 2023. "A Network-Based Analysis for Evaluating Conditional Covariance Estimates," Mathematics, MDPI, vol. 11(2), pages 1-19, January.
  59. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," JRFM, MDPI, vol. 11(4), pages 1-25, September.
  60. Moawia Alghalith, 2022. "Methods in Econophysics: Estimating the Probability Density and Volatility," Papers 2301.10178, arXiv.org.
  61. Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
  62. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2011. "Extreme values dependence of risk in Latin American markets," Economics Bulletin, AccessEcon, vol. 31(4), pages 2903-2914.
  63. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
  64. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
  65. Dimitrios Thomakos & Johannes Klepsch & Dimitris N. Politis, 2020. "Model Free Inference on Multivariate Time Series with Conditional Correlations," Stats, MDPI, vol. 3(4), pages 1-26, November.
  66. Basher, Syed Abul & Sadorsky, Perry, 2016. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," Energy Economics, Elsevier, vol. 54(C), pages 235-247.
  67. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
  68. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
  69. Athanasios Tsagkanos & Konstantinos Gkillas & Christoforos Konstantatos & Christos Floros, 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System," IJFS, MDPI, vol. 9(2), pages 1-13, April.
  70. Heidari, Hassan & Ebrahimi Torki, Mahyar & Babaei Balderlou, Saharnaz, 2015. "How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?," MPRA Paper 80273, University Library of Munich, Germany, revised 24 Dec 2016.
  71. Burda Martin, 2015. "Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 1-19, January.
  72. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
  73. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
  74. Hussein Hassan & Minko Markovski & Alexander Mihailov, 2022. "COVID-19 Cases and Stock Prices by Sector in Major Economies: What Do We Learn from the Daily Data?," Economics Discussion Papers em-dp2022-04, Department of Economics, University of Reading.
  75. Aielli, Gian Piero & Caporin, Massimiliano, 2013. "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 205-222.
  76. Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, Juan-Pablo, 2016. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 17-36.
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  78. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
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  83. Caporin, Massimiliano & Costola, Michele, 2022. "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, vol. 111(C).
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