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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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
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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
openaire +1 more source
Hedging strategies among financial markets: the case of green and brown assets. [PDF]
Empir Econ, 2023 Raheem ID +3 more
europepmc +1 more source
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
europepmc +1 more source
Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. [PDF]
Empir Econ, 2023 Cheng J.
europepmc +1 more source
LSTM-GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. [PDF]
Comput Econ, 2023 García-Medina A, Aguayo-Moreno E.
europepmc +1 more source
Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations [PDF]
In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure.
Cristina Amado, Timo Teräsvirta
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