Results 181 to 190 of about 3,891 (206)

Linear time-varying regression with Copula–DCC–GARCH models for volatility

Economics Letters, 2016
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Kim, Jong-Min, Jung, Hojin
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Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study

2010
Modeling 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
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Directional time-varying partial correlation with the Gaussian copula–DCC–GARCH model

Applied Economics, 2018
This 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

2016
The 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, Zinecker, Marek, Pietrzak, Michal Bernard, Faldzinski, Marcin, Balcerzak, Adam P.   +4 more
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Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis

Global Business Review, 2015
The 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 Policy
Purpose 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, Mortaza Ojaghlou, Evan Lau   +2 more
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Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach

International Review of Financial Analysis, 2022
Wenting Zhang, Xie He, Shigeyuki Hamori
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Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH

2017
Many 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, 2021
Qing Zhu, Jiarui Li, Renxian Zuo, Zheyu Guo   +3 more
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