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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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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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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Portfolio Optimization : A DCC-GARCH forecast with implied volatility
, 2019 This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1.1) process and an external ...
Bigdeli, Sam, Bengtsson, Filip
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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
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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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The impact of crude oil prices on Chinese stock markets and selected sectors: evidence from the VAR-DCC-GARCH model. [PDF]
Environ Sci Pollut Res Int, 2022 Hashmi SM, Ahmed F, Alhayki Z, Syed AA.
europepmc +1 more source
Borsa Istanbul Review, 2019 We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh +2 more
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Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets [PDF]
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to aid in risk ...
Roengchai Tansuchat +2 more
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Time-varying covariance structures A DCC-GARCH approach to testing the CAPM
, 2023 This master's thesis examines the implications of applyingtime-varying covariance structures betweenfour majorasset classes in the US economy within the framework of the conditional Capital Asset Pricing Model (CAPM). The DCC-GARCH-in-mean modelis employed to estimate the time-varying covariance structures.
Draget, Julian Alexander +1 more
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