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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013

This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in the volatility specification. Daily data from 1 July...

Persistent link: https://www.econbiz.de/10010326433

Empirical analysis of "volatility surprise" between dollar exchange rate and CRB commodity future markets

Wei, Ching Chun - In: International journal of economics and finance 8 (2016) 9, pp. 117-126

Persistent link: https://www.econbiz.de/10011541973

Modeling and analyzing the mean and volatility relationship between electricity price returns and fuel market returns

Wei, Ching Chun - In: International journal of economics and finance 8 (2016) 7, pp. 55-70

Persistent link: https://www.econbiz.de/10011522976

International interdependence between cash crop and staple food futures price indices : a dynamic assessment

Amrouk, El Mamoun; Heckelei, Thomas; Grosche, … - In: Journal of agricultural and applied economics : JAEE 51 (2019) 3, pp. 450-471

Persistent link: https://www.econbiz.de/10012041033

Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17

Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) techniques, namely the dynamic conditional correlation (DCC … and MGARCH techniques indicate low levels of volatility spillover and market interconnectedness except during crisis …. Specifically, the results of the MGARCH analysis show that the DCC model produces the best results. The obtained results point to …

Persistent link: https://www.econbiz.de/10012021528

Identification of structural multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - 2018

Persistent link: https://www.econbiz.de/10011993276

Dynamic linkages between gold and equity prices : evidence from Indian financial services and information technology companies

Dey, Shubhasis; Sampath, Aravind - In: Finance research letters 25 (2018), pp. 41-46

Persistent link: https://www.econbiz.de/10012003426

The effect of spillover on volatility forecasting : an empirical study in Indian Stock Market

Karmakar, Madhusudan; Shukla, Girja Kant - In: Metamorphosis : a journal of management research 15 (2016) 1, pp. 20-30

Persistent link: https://www.econbiz.de/10011625682

Market interdependence and volatility transmission among major crops

Gardebroek, Cornelis; Hernandez, Manuel A.; Robles, Miguel - In: Agricultural economics : the journal of the … 47 (2016) 2, pp. 141-155

Persistent link: https://www.econbiz.de/10011662000

Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach

Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

Persistent link: https://www.econbiz.de/10011534717