Showing 1 - 4 of 4
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...
Persistent link: https://www.econbiz.de/10009441545
This thesis analyses symmetric and asymmetric interdependencies of financial markets through time for returns and variances. The work contributes to the literature in several areas: Symmetric interdependencies (correlations) are examined in the first part where a new bivariate correlation...
Persistent link: https://www.econbiz.de/10009475336
This paper discusses the volatility spillover effects in agricultural commodity markets, via studying implied volatilities derived from nearby options contracts. Using weekly averaged data from corn and soybean markets after 2003, a vector autoregressive (VAR) model is estimated, and impulse...
Persistent link: https://www.econbiz.de/10009444327
This paper examines global (mature market) and regional (emerging market) spillovers inlocal emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimatedfor 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the MiddleEast. The models capture a range of...
Persistent link: https://www.econbiz.de/10009481448