Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach [PDF]
In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval
Marcelo Brutti Righi +1 more
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Comparison of Value at Risk (VaR) Multivariate Forecast Models. [PDF]
Comput Econ, 2022 Müller FM, Righi MB, Righi MB.
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Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]
Entropy (Basel)Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
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Multivariate models of commodity futures markets: a dynamic copula approach. [PDF]
Empir Econ, 2023 Chen S, Li Q, Wang Q, Zhang YY.
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Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
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The quantile domain volatility shock transmission between carbon emission trading system and European emerging stock markets: Practical implications for portfolio optimization. [PDF]
PLoS OneAljughaiman AA +3 more
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The Protective Nature of Gold During Times of Oil Price Volatility: An Analysis of the COVID-19 Pandemic. [PDF]
Extr Ind Soc, 2023 Li Y, Umair M.
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Using smart transportation assets to hedge fossil energy markets: Evidence from quantile-based VAR approach. [PDF]
PLoS OneHasan MB +5 more
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Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
PLoS OneSiddiqui N, Mohamad Hasim H.
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On the relationship between oil market and European stock returns. [PDF]
Environ Sci Pollut Res Int, 2023 Magazzino C, Shahbaz M, Adamo M.
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