Essays about: "GARCH-BEKK"

Found 4 essays containing the word GARCH-BEKK.

  1. 1. The Impact of Financial Crises and Natural Disasters on the US Catastrophe Bond Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Martina Scaroni; Felicitas Gesa Lore Elisabeth Schulze-Steinen; [2022]
    Keywords : Catastrophe Bond; Atlantic Hurricanes; Natural Disasters; Financial Crisis; Business and Economics;

    Abstract : Catastrophe (CAT) bonds bring the needs of (re)insurance companies and investors together: They insure against natural disasters by transferring risk to the capital market while at the same time promising high returns and a certain detachment from financial markets. Being an alternative investment class that has been on the rise only in recent years, academic research on CAT bonds is comparatively limited. READ MORE

  3. 2. 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

  4. 3. Bear Periods Amplify Correlation: A GARCH BEKK Approach

    University essay from Göteborgs universitet/Graduate School

    Author : Suleman Rafiq Maniya; Fredrik Magnusson; [2010-06-24]
    Keywords : GARCH-BEKK; volatility; covariance; correlation; ARCH; GARCH; emerging markets;

    Abstract : The aim of this paper is to see how correlation changes across time across different indices. We have used a sufficiently large benchmark period of 20 years to have a better understanding as to how correlations1have changed. READ MORE

  5. 4. Dynamic linkages between China and US equity markets under two recent financial crises

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Yuntan Sun; Ya Xu; [2010]
    Keywords : Equity markets linkages; Financial Crisis; Return causality; Volatility spillovers; MGARCH – BEKK model.; Business and Economics;

    Abstract : This paper explores and compares the effects of two financial crises (the 1997 Asian Financial Crisis and the 2007-2010 Subprime Financial Crisis) on short-run and long-run linkages between equity markets in China (mainland and Hong Kong) and US. In particular, we not only investigate the return causality relationships by applying vector autoregressive (VAR) analysis, but we also examine the volatility spillover effects by using a multivariate GARCH - BEKK model. READ MORE