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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Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]
PLoS One, 2023 Danila N.
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Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals [PDF]
This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994-2003.
Pereira, Pedro Luiz Valls
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Nvidia and Bitcoin Linkage Study—Based on DCC-GARCH Model
Financial Engineering and Risk Management, 2023 openaire +1 more source
Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model [PDF]
Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017), 2017 Haixia Wu, Yan Ge
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Hedging strategies among financial markets: the case of green and brown assets. [PDF]
Empir Econ, 2023 Raheem ID +3 more
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Time-Varying Beta Estimators in the Mexican Emerging Market [PDF]
This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the
Nieto Domenech, Belén +2 more
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Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
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Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. [PDF]
Empir Econ, 2023 Cheng J.
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