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New approaches of the DCC-GARCH residual: Application to foreign exchange rates
26 pages, 18 ...
Shiraya, Kenichiro +2 more
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Aperture NeuroAlzheimer's disease (AD) has a prolonged latent phase. Sensitive biomarkers of amyloid beta ($A\beta$), in the absence of clinical symptoms, offer opportunities for early detection and identification of patients at risk. Current $A\beta$ biomarkers, such
Kun Yue +4 more
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Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach
Revista Brasileira de Finanças, 2012 In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the daily returns conditional covariance matrix.
Marcelo Brutti Righi +1 more
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Multivariate DCC-GARCH Model: -With Various Error Distributions
, 2009 In this thesis we have studied the DCC-GARCH model with Gaussian, Student's $t$ and skew Student's t-distributed errors. For a basic understanding of the GARCH model, the univariate GARCH and multivariate GARCH models in general were discussed before the DCC-GARCH model was considered.
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Volatility Spillovers and Market Integration in South Africa’s Fresh Produce Markets
CommoditiesPrice volatility in the South African fresh produce market poses significant risks to the entire value chain. This study examines the extent of price volatility and spillover effects in these markets to improve price risk management and enhance market ...
David Kalima +2 more
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A Hybrid Model of VAR-DCC-GARCH and Wavelet Analysis for Forecasting Volatility
The 8th International Conference on Time Series and Forecasting, 2022 Maryam Nafisi-Moghadam, Shahram Fattahi
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Venture Capital and Private Equity Diversification: A Var and DCC Garch Approach
Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438The terms “venture capital” and “private equity” are used in a loosely interchangeable manner when capital is invested in innovative technology-driven ideas or nascent-stage/unlisted companies. Pre-revenue idea-based/nascent-stage unlisted start-ups are financed by investors classified as venture capitalist investments, whereas post-revenue established
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Humanities & Social Sciences CommunicationsDuring the COVID-19 pandemic and subsequent periods of US monetary policy normalization after quantitative easing during COVID-19, global financial markets have encountered elevated levels of volatility and risk.
Kamphol Panyagometh
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Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]
PLoS One, 2023 Danila N.
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