The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries [PDF]
We analyze the time-variations of conditional correlations between selected Latin American emerging markets and between them and the World stock market to further shed light on the issues of capital market integration and portfolio diversification.
Duc Khuong Nguyen +2 more
core +3 more sources
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
core +1 more source
Optimal currency shares in international reserves: the impact of the euro and the prospects for the dollar [PDF]
Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater liquidity in other major currencies, and the rising current account deficits and external debt of the United States have increased the ...
Papaioannou, Elias +2 more
core
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
Humanities & Social Sciences CommunicationsDuring 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
What Drives the Stock Market Integration in the CEE-3? [PDF]
, 2013 In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark.
Baumöhl, Eduard +2 more
core
R2 decomposed connectedness measures and multivariate portfolio techniques using DCC-GARCH models
, 2023 In this study, we investigate the return propagation mechanism across four clean energy indices, namely, the NASDAQ OMX Green Economy Index, NASDAQ OMX Solar Energy Index, NASDAQ OMX Wind Energy Index, and NASDAQ OMX Geothermal Energy Index ranging from December 21st, 2010 until June 2nd, 2023 by using a novel DCC-GARCH-based R2 decomposed ...
openaire +1 more source
Do Time-Varying Covariances, Volatility Comovement and Spillover Matter? [PDF]
Financial markets and their respective assets are so intertwined; analyzing any single market in isolation ignores important information. We investigate whether time varying volatility comovement and spillover impact the true variance-covariance matrix ...
Lakshmi Balasubramanyan
core
New approaches of the DCC-GARCH residual: Application to foreign exchange rates
26 pages, 18 ...
Shiraya, Kenichiro +2 more
openaire +2 more sources
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
openaire +1 more source