Results 171 to 180 of about 41,461 (206)
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Linear time-varying regression with Copula–DCC–GARCH models for volatility
Economics Letters, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kim, Jong-Min, Jung, Hojin
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DCC-GARCH Modeli Yardımıyla İslami Bankalar Arasındaki Etkileşimin Belirlenmesi
Gaziantep University Journal of Social Sciences, 2023Son yıllarda İslam ekonomilerindeki büyüme ve finansal sistemin gelişimiyle birlikte İslami bankaların finansal piyasalar üzerindeki etkileri artmıştır. İslami bankalar arasındaki finansal etkileşimlerin etkisini araştırmak, finansal istikrar açısından önemlidir.
Faruk TAŞKIRAN +1 more
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Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study
2010Modeling volatility and co-volatility of a few zero-coupon bonds is a fundamental element in the field of fix-income risk evaluation. Multivariate GARCH model (MGARCH), an extension of the well-known univariate GARCH, is one of the most useful tools in modeling the co-movement of multivariate time series with time-varying covariance matrix. Grounded on
Yiyu Huang, Wenjing Su, Xiang Li 0033
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Variance Minimization Hedging Analysis Based on a Time-Varying Markovian DCC-GARCH Model
IEEE Transactions on Automation Science and Engineering, 2020Considering time-varying transition probability (TVTP), this article combines Markov regime switching with a dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model to construct a new hedging model and study a state-dependent minimum variance hedging ratio.
Jia Wang 0047 +5 more
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Value-at-Risk with Application of DCC-GARCH Model
2016The article concentrates on modelling of volatility of capital markets and estimation of Value-at-Risk. The aim of the article is the description of volatility and interdependencies among three indices: WIG (Poland), DAX (Germany) and DJIA (United States). In order to measure the volatility and strength of interdependencies DCC-GARCH-In model was used,
Meluzin, Tomas +4 more
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The more contagion effect on emerging markets: The evidence of DCC-GARCH model
Economic Modelling, 2012Abstract The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during U.S. subprime crisis for most of the developed and emerging countries.
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New weather indices for China: based on DCC-GARCH and GRU models
International Journal of Services Technology and Management, 2021Qing Zhu 0007 +3 more
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Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH
2017Many of the earlier researches postulate that Sukuk, being of some fundamental difference from conventional bond, offers a diversification strategy for investors and portfolio managers. However, other works have argued that Sukuk has many properties it shares with the conventional bonds and as a result it might not be a viable strategy for portfolio ...
Adekunle, Salami Saheed, Masih, Mansur
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Cryptocurrency as a Hedging Alternative- DCC GARCH Model Analysis using R Programming
2022 5th International Conference on Contemporary Computing and Informatics (IC3I), 2022Vikrant Vikram Singh +3 more
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