Search Results - subject:"MVGARCH"

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Can the introduction of stock index futures stabilize the volatility of the stock market? : evidence from the Chinese stock market

Liu, Shengnan; Yang, Linshan; Gu, Rongbao - In: International review of economics & finance : IREF 85 (2023), pp. 44-58

Persistent link: https://www.econbiz.de/10014424017

Research on the spillover effect of RMB exchange rate fluctuation on the exchange rate of major countries along the "Belt and Road"

Maojia, Guo; Li, Fei - In: Studies on China's Special Economic Zones 5, (pp. 127-142). 2023

Persistent link: https://www.econbiz.de/10014309798

Spillover effect in the RMB foreign exchange market : based on VAR and DCC.MVGARCH models

Gao, Jieying; Lian, Yonghui - In: Frontiers of business research in China : selected … 16 (2022) 1, pp. 88-104

Persistent link: https://www.econbiz.de/10013258462

A study of volatility and externality compensative return of internet financial products in the case of Yuebao

Chen, Yongwei; Pang, Jiawei; Zhang, Weiying - In: Emerging markets finance & trade : a journal of the … 54 (2018) 4/5/6, pp. 761-773

Persistent link: https://www.econbiz.de/10012123472

What Drives the Stock Market Integration in the CEE-3?

Vyrost, Tomas; Baumöhl, Eduard; Lyocsa, Stefan - In: Ekonomicky casopis/Journal of Economics 61 (2013) 1, pp. 67-81

In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis...

Persistent link: https://www.econbiz.de/10011622768

What drives the stock market integration in the CEE-3?

Výrost, Tomáš; Baumöhl, Eduard; Lyócsa, Štefan - 2013

Persistent link: https://www.econbiz.de/10011638352

The Impact of the Financial Crisis on the Currency Risk Premium Dynamics within the G20 :Evidence from the ICAPM

Boubakri, Salem - In: Brussels Economic Review 55 (2012) 1, pp. 33-73

This study tests an international extension of the Capital Asset Pricing Model (CAPM),integrating two sources of risk: the first is related to the international financial market and thesecond is related to the domestic market. Our model takes into account the financial integrationdynamics of...

Persistent link: https://www.econbiz.de/10010583708

Trend analysis of global stock market linkage based on a dynamic conditional correlation network

Kedong, Yin; Liu, Zhe; Liu, Peide - In: Journal of business economics and management 18 (2017) 4, pp. 779-800

Persistent link: https://www.econbiz.de/10011780777

Modeling stock market indexes with copula functions

Leśkow, Jacek; Mokrzycka, Justyna; Krawiec, Kamil - In: e-Finanse: Financial Internet Quarterly 7 (2011) 2, pp. 1-16

part of this paper dynamic models such as DCC-MVGARCH and conditional copula are analyzed. Moreover, we also present an …

Persistent link: https://www.econbiz.de/10010289522

MODELING STOCK MARKET INDEXES WITH COPULA FUNCTIONS

Leskow, Jacek; Mokrzycka, Justyna; Krawiec, Krzysztof - In: "e-Finanse" 7 (2011) 2, pp. 1-16

part of this paper dynamic models such as DCC-MVGARCH and conditional copula are analyzed. Moreover, we also present an …

Persistent link: https://www.econbiz.de/10010815420