The Study of Nonlinear Correlation between Shanghai, Hongkong and American Stock Returns An Empirical Analysis Based on MS-VAR Model and MS-DCC-MVGARCH Model

2014 ◽  
Author(s):  
Decai Zhou ◽  
Xiaoyong Lu ◽  
Liying Lei ◽  
Bixuan Fu
Keyword(s):  
Stock Returns ◽  
Empirical Analysis ◽  
Var Model ◽  
Nonlinear Correlation

scholarly journals Potential Impacts of Foodborne Illness Incidences on Market Movements and Prices of Fresh Produce in the U.S.

2010 ◽  
Vol 42 (4) ◽  
pp. 731-741 ◽  
Author(s):  
Marco A. Palma ◽  
Luis A. Ribera ◽  
David Bessler ◽  
Mechel Paggi ◽  
Ronald D. Knutson
Keyword(s):  
Food Safety ◽  
Case Studies ◽  
Empirical Analysis ◽  
Vector Autoregression ◽  
Fresh Produce ◽  
Foodborne Illness ◽  
Var Model ◽  
June July ◽  
The Empirical Analysis ◽  
The U.S

This study investigates the potential impacts of food safety outbreaks on domestic shipments, imports, and prices of the produce industry. Three case studies were analyzed to assess these potential impacts: the cantaloupe outbreak of March–April 2008, the spinach outbreak of September 2006, and the tomato outbreak of June–July 2008. Data-determined historical decompositions were conducted to provide a weekly picture of domestic shipment, import, and price fluctuation transmissions. The empirical analysis based on a vector autoregression (VAR) model showed differences in the results depending on the source of the outbreak (domestic vs. imported).

scholarly journals An Analysis of Stock Return Transmission in North and Latin America

2019 ◽  
Vol 10 (6) ◽  
pp. 14
Author(s):  
Chikashi Tsuji
Keyword(s):  
Latin America ◽  
Stock Returns ◽  
Latin American ◽  
Stock Markets ◽  
Stock Return ◽  
The Other ◽  
Var Model ◽  
Recent Period ◽  
The Us ◽  
Standard Vector

This study empirically examines the return transmission effects between the four North and Latin American stock markets in the US, Canada, Brazil, and Mexico. More specifically, applying a standard vector autoregression (VAR) model, we obtain the following interesting findings. First, (1) the return transmission effects between the four North and Latin American stock markets became much tighter in our second subsample period. Second, (2) in particular, US and Mexican stock markets are strong return transmitters in the recent period. Furthermore, (3) both in our first and second subsample periods, Brazilian stock returns do not transmit to the other three stock returns, although the other three North and Latin American stock markets affect the Brazilian stock market.

scholarly journals An Empirical Analysis of the Dry Bulk Market Using a Recursive VAR Model

2010 ◽  
Vol 26 (1) ◽  
pp. 17-35
Author(s):  
임종관 ◽  
고병욱 ◽  
김우호
Keyword(s):  
Empirical Analysis ◽  
Var Model

scholarly journals Empirical study of relation measures of stable distributed stock returns

2008 ◽  
Vol 48 ◽  
Author(s):  
Igoris Belovas ◽  
Audrius Kabašinskas ◽  
Leonidas Sakalauskas
Keyword(s):  
Empirical Study ◽  
Stock Returns ◽  
Empirical Analysis ◽  
Portfolio Management ◽  
Financial Instruments ◽  
Baltic States ◽  
General Correlation ◽  
Second Moment ◽  
Correlation Measures ◽  
The Empirical Analysis

Relationships between financial instruments are very important in practical portfolio management. Under the assumption of stability, when the second moment does not exist, traditional relationship measures cannot be applied. In this paper we introduce new general correlation measures. Results of the empirical analysis of the selected equities from Baltic States market are given as an example.

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