Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach
Y Chen, J Xu, J Miao - Resources Policy, 2023 - Elsevier
The international dry bulk shipping market is closely related to the commodity and crude oil
markets. At the same time, the Baltic Dry Index (BDI) is usually considered as the main …
markets. At the same time, the Baltic Dry Index (BDI) is usually considered as the main …
Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models
This paper examines the dynamic relationship between the oil market and stock markets
from two perspectives: dependence between the crude oil market (WTI) and stock markets of …
from two perspectives: dependence between the crude oil market (WTI) and stock markets of …
[HTML][HTML] The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye
S Çiçek, A Yıldırım - Central Bank Review, 2024 - Elsevier
The Turkish economy has encountered significant shocks in interest rates and foreign
exchange along with global risks in recent years. These shocks had an impact not only on …
exchange along with global risks in recent years. These shocks had an impact not only on …
Bayesian inference methods for univariate and multivariate GARCH models: A survey
A Virbickaite, MC Ausín… - Journal of Economic …, 2015 - Wiley Online Library
This survey reviews the existing literature on the most relevant Bayesian inference methods
for univariate and multivariate GARCH models. The advantages and drawbacks of each …
for univariate and multivariate GARCH models. The advantages and drawbacks of each …
Bayesian estimation of the Gaussian mixture GARCH model
Bayesian inference and prediction for a generalized autoregressive conditional
heteroskedastic (GARCH) model where the innovations are assumed to follow a mixture of …
heteroskedastic (GARCH) model where the innovations are assumed to follow a mixture of …
Two birds with one stone: An efficient hierarchical framework for top-k and threshold-based string similarity search
String similarity search is a fundamental operation in data cleaning and integration. It has
two variants, threshold-based string similarity search and top-k string similarity search …
two variants, threshold-based string similarity search and top-k string similarity search …
[PDF][PDF] Volatility models
Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc
Bauwens, Christian Hafner, and Sébastien Laurent, forthcoming in 2012 (John Wiley & …
Bauwens, Christian Hafner, and Sébastien Laurent, forthcoming in 2012 (John Wiley & …
Parametric pricing of higher order moments in S&P500 options
A general parametric framework based on the generalized Student t‐distribution is
developed for pricing S&P500 options. Higher order moments in stock returns as well as …
developed for pricing S&P500 options. Higher order moments in stock returns as well as …
Bayesian methods in finance
E Jacquier, N Polson - 2011 - academic.oup.com
This article looks at the usefulness of Bayesian methods in finance. It covers all the major
topics in finance. It discusses the predictability of the mean of asset returns, central to …
topics in finance. It discusses the predictability of the mean of asset returns, central to …
Parameter estimation risk in asset pricing and risk management: A Bayesian approach
R Tunaru, T Zheng - International Review of Financial Analysis, 2017 - Elsevier
Parameter estimation risk is non-trivial in both asset pricing and risk management. We adopt
a Bayesian estimation paradigm supported by the Markov Chain Monte Carlo inferential …
a Bayesian estimation paradigm supported by the Markov Chain Monte Carlo inferential …