Examination of Dynamic Correlation between Major Assets in Iran by DCC-GARCH Approach [PDF]
پژوهشهای اقتصادی, 2015 This study investigates the time-varying correlations among oil and coin prices, and exchange rate in Iran. Since investment is a key factor in economic growth and development, so the necessary funds should be provided and directed towards manufacturing ...
Shadi Amiri +3 more
doaj
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
Linkages and relationships between Emerging European and Developed Stock Markets before and after the Russian Crisis of 1997-1998 [PDF]
This paper examines the linkages between the Russian stock market and those of its largest neighbors in Central and Eastern Europe, and the world stock markets over the 10 year period 1995-2004. What we find is that there was a major change in the nature
Brian Lucey, Svitlana Voronkova
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Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis [PDF]
Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional correlations processes, although with the drawback, when the number of financial returns series considered increases, that the parameterizations entail
Rossi, Eduardo, Spazzini, Filippo
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Identifying the Signs of Currency Speculation in Hong Kong's Linked exchange Rate [PDF]
This paper identifies the ex ante factors of currency speculation based on the experience of Hong Kong’s three episodes in 1988, 1998 and 2007. The dynamic conditional correlation models are used to study the inter-temporal interactions among the Hang ...
Li, Kui-Wai
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An empirical examination on the changes of correlations between Chinese listed banks due to a financial crisis-based on a VAR-DCC-GARCH model [PDF]
, 2016 在因金融风险传染而造成的相关性变动问题上，目前绝大多数文献的研究对象均只覆盖至不同国家或地区的股票市场以及非银行上市公司，而鲜有涉及到一国国内各银行主体；而在关于银行间风险溢出的相关文献中，学者们则普遍采用分位数回归法计算条件风险价值(CoVaR)而度量银行两两之间的股市风险非线性溢出效应及单个银行的系统性风险贡献度，但却并未关注到因金融风险传染而在均值溢出层面导致的银行间相关性变动及在方差溢出层面导致的银行间动态相关系数的变化。鉴于此 ...
李郭依
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On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model [PDF]
, 2014 We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility.
Baruník, Jozef, Čech, František
core
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models [PDF]
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability.
Francesco Violante +2 more
core
Cointegration and conditional correlations among German and Eastern Europe equity markets [PDF]
This paper aims to examine the long term relationship between German and three Central and Eastern Europe (CEE) equity markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship among these ...
Guidi, Francesco, Gupta, Rakesh
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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.
openaire +1 more source