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
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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
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How interrelated are MIST equity markets with the developed stock markets of the world?
Cogent Economics & Finance, 2017 This study explores the long-run and short-term relationship between the Mexico, Indonesia, South Korea, and Turkey (MIST) equity markets and the developed stock markets such as US, UK, Germany, Japan, Hong Kong, and Singapore.
Vinodh Madhavan
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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]
Resour Policy, 2022 Yıldırım DÇ, Esen Ö, Ertuğrul HM.
europepmc +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.
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Correlation dynamics between Asia-Pacific, EU and US stock returns [PDF]
This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, Engle and Sheppard (2006).
Bredin, Don P +2 more
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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
Equity market interdependence: the relationship between European and US stock markets. [PDF]
In this article, the degree of interdependence between European and US stock markets is measured by the conditional correlation between stock returns: the correlation coefficient is estimated using a model describing the variations over time in a number ...
Avouyi-Dovi, S., Neto, D.
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.
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