Results 1 to 10 of about 3,891 (206)
Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
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East Asian Financial Contagion under DCC-Garch
The International Journal of Banking and Finance, 2009 We consider the definition and measurement of contagion by analysing the 1997 East Asian financial crisis in the equity markets of eight countries using dynamic conditional correlation (DCC).
J. H. Cho, Ali M. Parhizgari
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DCC-GARCH Modeli Yardımıyla İslami Bankalar Arasındaki Etkileşimin Belirlenmesi
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2023 Son yıllarda İslam ekonomilerindeki büyüme ve finansal sistemin gelişimiyle birlikte İslami bankaların finansal piyasalar üzerindeki etkileri artmıştır.
Semra Taspunar Altuntaş +1 more
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On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models. [PDF]
PLoS OneThis paper investigates the diversification, hedging, and safe-haven capabilities of Bitcoin and gold against blue economy and green finance assets using three different MGARCH models (DCC, ADCC, and GO-GARCH) during adverse events such as the COVID-19 ...
Manzli YS +4 more
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Application of futures in calculating optimal hedge ratio in crude oil market: Comparison between static and dynamic approaches [PDF]
مدلسازی اقتصادسنجی, 2020 Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio.
Simin Aleali +3 more
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Jurnal Aplikasi Bisnis dan Manajemen, 2023 The Covid-19 pandemic increased uncertainty in the Indonesian stock market. This paper aims to investigate foreign and domestic investors' behavior in the Indonesian stock market, especially during the Covid-19 pandemic.
Reffi Marizka Dewi +2 more
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On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
Mathematics, 2020 This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula ...
Jong-Min Kim, Seong-Tae Kim, Sangjin Kim
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SAGE Open, 2021 To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock ...
Fahim Afzal +4 more
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Dynamic relationships among green bonds, CO2 emissions, and oil prices
Frontiers in Environmental Science, 2022 Green bonds play a pivotal role in the financing of sustainable infrastructure systems. Likewise, CO2 emissions and oil prices can cause an impact on the green bonds market.
Nini Johana Marín-Rodríguez +2 more
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International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
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