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Directional time-varying partial correlation with the Gaussian copula–DCC–GARCH model
Applied Economics, 2018This article suggests a directional time-varying partial correlation based on the dynamic conditional correlation (DCC) method. A recent study proposed the copula DCC based on the vine structure.
Jong-Min Kim, Hojin Jung
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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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Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis
Global Business Review, 2015The study applies the dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle ( 2002 ) in order to capture the contagion effects during global financial crisis. We used daily stock returns for the period January 2002–December 2011 to study the contagion effects from the United ...
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Modeling structure of inflation in Türkiye: DCC-GARCH and Markov switching model
Journal of Financial Economic PolicyPurpose Recent surges in inflation have posed significant challenges for Türkiye, with the annualinflation rate culminating at 83.45% by the close of 2022. The purpose of the study is to take a closer look at the details behind the rising inflation trend in Türkiye.
Erginbay Uğurlu +2 more
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International Review of Financial Analysis, 2022
Wenting Zhang, Xie He, Shigeyuki Hamori
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Wenting Zhang, Xie He, Shigeyuki Hamori
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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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Cross-city hedging with weather derivatives using bivariate DCC GARCH models [PDF]
, 2006 As monopolies gave their way to competitive wholesale electricity markets, volumetric risk came into play. Electricity supplier can buy weather derivatives to protect from volumetric risk due to unexpected weather conditions. However, contracts can only be negotiated for weather variables measured at few selected locations. To hedge their specific risk,
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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 +3 more
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Empirical analysis of oil risk-minimizing portfolios: the DCC-GARCH-MODWT approach
2020This paper strives to analyze hedging strategies between Brent oil and six other heterogeneous assets - American ten-year bonds, US dollars, gold, natural gas futures, corn futures, and Europe, Australasia and Far East exchange-traded funds (EAFE-ETFs) - observing five wavelet time horizons and considering three different risk metrics: variance, value ...
Zivkov, Dejan +2 more
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Evropské realitní investiční trusty: Analýza korelace za použití DCC- GARCH modelu
2012Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS.
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