Results 111 to 120 of about 41,461 (206)

Reevaluate the DCC-GARCH and DCC-CARR model hedging performance

, 2010
碩士本文以美國、德國、日本等國之股價指數與指數期貨為主要研究對象，美國史坦普500股價指數、德國法蘭克福指數、日本日經225指數研究期間取自1991年1月1日至2009年12月31日止，美國道瓊工業指數研究期間取自1998年1月1日至2009年12月31日止。運用不同避險績效的衡量方法，包括變異數(Variance) 、效用函數(Utility function)、半變異數(semi-variance)、低度動差(LPM)、條件風險值(CVaR)等來估計OLS、CCC-GARCH、DCC-GARCH ...
黃薇之; Huang, Wei-chih
core  

The effect of COVID-19 and U.S. monetary policy on Bitcoin and stock market volatility: an application of DCC-GARCH model

Humanities & Social Sciences Communications
During the COVID-19 pandemic and subsequent periods of US monetary policy normalization after quantitative easing during COVID-19, global financial markets have encountered elevated levels of volatility and risk.
Kamphol Panyagometh
doaj   +1 more source

Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]

PLoS One, 2023
Danila N.
europepmc   +1 more source

A Hybrid Model of VAR-DCC-GARCH and Wavelet Analysis for Forecasting Volatility

The 8th International Conference on Time Series and Forecasting, 2022
Maryam Nafisi-Moghadam, Shahram Fattahi
openaire   +1 more source

Venture Capital and Private Equity Diversification: A Var and DCC Garch Approach

Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438
The terms “venture capital” and “private equity” are used in a loosely interchangeable manner when capital is invested in innovative technology-driven ideas or nascent-stage/unlisted companies. Pre-revenue idea-based/nascent-stage unlisted start-ups are financed by investors classified as venture capitalist investments, whereas post-revenue established
openaire   +1 more source

Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets [PDF]

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR).
Roengchai Tansuchat, Michael McAleer, Chia-Lin Chang   +2 more
core  

On the Forecasting Accuracy of Multivariate GARCH Models [PDF]

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems.
Jeroen V.K. Rombouts, Sébastien Laurent, Francesco Violante   +2 more
core   +2 more sources

Modelos multivariados de volatilidade: uma aplicação em seleção e otimização de carteiras [PDF]

, 2013
Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2013.Considerando que os ativos financeiros têm como característica a variância heterocedástica e ainda, que ...
Camara, Eduardo Amendola
core  

Hedging strategies among financial markets: the case of green and brown assets. [PDF]

Empir Econ, 2023
Raheem ID, Akinkugbe O, Yusuf AH, Asl MG.   +3 more
europepmc   +1 more source