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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Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach [PDF]
Mathematics, 2021 This paper analyzes the co-movements of prices of fossil fuels, energy stock markets and EU allowances. This analysis is conducted in order to identify the spillover effect of volatility and correlation among these financial markets, and to provide a scientific basis that shows the interest of incorporating sustainable assets in the design of minimum ...
Pilar Gargallo +2 more
exaly +5 more sources
Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
Axioms, 2022 This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models.
Kuo-Shing Chen, Shen-Ho Chang
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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 ...
Yasmine Snene Manzli +4 more
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Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model [PDF]
Resources Policy, 2022 Durmus Çagri Yildirim +2 more
exaly +2 more sources
Using Multivariate Dynamic Conditional Correlation GARCH model to analysis financial market data [PDF]
Maǧallaẗ Al-Buḥūṯ Al-Tiǧāriyyaẗ, 2023 In financial markets, understanding the dynamic relationships between assets is crucial for effective portfolio management. This study highlights the importance of using the DCC-GARCH (Dynamic Conditional Correlation - Generalized Autoregressive ...
Fatma Alshenawy, Doaa A. Abdo
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Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach [PDF]
Economies, 2021 This research investigated the performance of a dynamic portfolio that consists of sustainable/ethical stocks and gold. The main purpose of this study is to prove that the inclusion of gold in sustainable/ethical stocks portfolios could produce better performance.
Robiyanto Robiyanto +4 more
openaire +3 more sources
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
doaj +1 more source
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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