Essays about: "GARCH bekk spillover"

Showing result 1 - 5 of 9 essays containing the words GARCH bekk spillover.

  1. 1. The search for safe haven assets in the time of a global pandemic

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Katja Rasic; [2022]
    Keywords : Volatility spillover; diagonal BEKK-GARCH; global pandemic; safe haven; Business and Economics;

    Abstract : The global pandemic has initially negatively influenced the financial markets all over the world. As a consequence, the volatility in the stock markets increased and investors have experienced great monetary losses. READ MORE

  3. 2. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

    University essay from Göteborgs universitet/Graduate School

    Author : My Phung; [2021-06-30]
    Keywords : stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Abstract : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. READ MORE

  4. 3. Does US-China Trade War Cause Decoupling on Agricultural Trading? Evidence from Spillovers in Soybean Meal Futures Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi; Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Yuwei Pei; Zhangya Zhou; [2020]
    Keywords : Trade war; Soybean meal; Price transmission; Risk spillover;

    Abstract : This thesis is designed to study the impacts of the US-China trade war on the agricultural trading between the two countries. Through the empirical research on the price and risk spillover effects, the evidence from the soybean meal futures markets are found out. READ MORE

  5. 4. The volatility spillovers between stock markets and exchange rates - Evidence from North- and South America

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Daníel Kristinsson; [2014]
    Keywords : GARCH-BEKK model; Volatility spillovers; Stock returns; Exchange rates; North American countries; Business and Economics;

    Abstract : The aim of this thesis is to look at volatility spillovers between the exchange rate changes and the stock market returns. The theoretical relationship between the exchange rate and stock market is covered with focus on two basic models, the stock oriented model and the flow oriented model. READ MORE

  6. 5. Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades.

    University essay from Umeå universitet/Företagsekonomi

    Author : Johannes Hornbrinck; Jonas Olausson; [2014]
    Keywords : Gold; Currency Carry Trades; Carry Trades; Portfolio choice; Sweden; Gold Hege; Gold diversifier; Gold safe-haven; UIP; Relationship;

    Abstract : Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. READ MORE