Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange [PDF]
In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility.
Yilmaz, Tolgahan
core +1 more source
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
doaj +1 more source
Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange [PDF]
This paper investigates the long-term financial integration and bivariate extreme dependence between Bovespa and the Istanbul Stock Exchange. While a static cointegration test presents no evidence of long-term cointegration, the introduction of a ...
Ceylan Onay, Gözde Ünal
core
Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models. [PDF]
SN Bus Econ, 2022 Sajeev KC, Afjal M.
europepmc +1 more source
Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. [PDF]
Resour Policy, 2022 Yıldırım DÇ, Esen Ö, Ertuğrul HM.
europepmc +1 more source
Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements [PDF]
This paper investigates potential contagion among the major financial institutions in developed economies. Using Credit Default Swaps (CDS) premia as a measure of credit or counterparty risk, our analysis focuses on the extreme co-movements of Financial ...
Dima Rahman
core
Dynamic spillover effects in futures markets:UK and US evidence [PDF]
, 2016 Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of ...
Antonakakis, Nikolaos +2 more
core +2 more sources
COVID-19 Shock and the Time-Varying Volatility Spillovers Among the Energy and Precious Metals Markets: Evidence From A DCC-GARCH-CONNECTEDNESS Approach. [PDF]
Front Public Health, 2022 Tan X +5 more
europepmc +1 more source
Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests [PDF]
This paper examines the relationships between the Russian and other Central European (CE) and developed countries’ equity markets over the 1995-2004 period.
M. Lucey, Brian, Voronkova, Svitlana
core
Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. [PDF]
Financ Innov, 2022 Özdemir O.
europepmc +1 more source