Results 11 to 20 of about 3,903 (204)
برآورد ریسک سیستمی نظام بانکی با استفاده از سنجه های MES و CoVaR [PDF]
راهبرد مدیریت مالی, 2020 هدف این مقاله برآورد ریسک سیستمی نظام بانکی کشور، ارزیابی تأثیر بحران بانکی بر کل اقتصاد و استخراج سهم نظام بانکی در ریسک سیستمی با استفاده از سنجه های مختلف در قالب یک تحلیل مقایسهای است.
عبدالرضا شاکری +2 more
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VOLATILITY SPILLOVER BETWEEN BIST 30 FUTURES AND SPOT MARKETS: A DCC-GARCH ANALYSES
Yönetim Bilimleri Dergisi, 2022 In terms of investors, it is essential to be aware of the flow of information across markets and build up investment policies in line with this information. The volatility spillover relationships between futures and spot markets contain important information in the context of optimal portfolio composing. In this study, the relevant relationship between
Esen KARA, Adem ANBAR, Özer ARABACI
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On the stationarity of Dynamic Conditional Correlation models [PDF]
, 2016 We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH).
Fermanian, Jean-David, Malongo, Hassan
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Risks, 2020 In the present work, we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis, we assume that the stock quotations of insurance companies reflect market sentiments, which ...
Anna Denkowska, Stanisław Wanat
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Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
Axioms, 2022 This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models.
Kuo-Shing Chen, Shen-Ho Chang
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Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms [PDF]
Journal of Forecasting, 2020 AbstractThis study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y lmaz (Journal of Econometrics, 2014, 182(1), 119–134)
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Jurnal Ilmu Sosial dan Humaniora, 2019 Pasca terpilihnya Donald Trump menjadi Presiden Amerika Serikat memberikan pengaruh terhadap perekonomian dunia dengan berbagai kebijakan yang ditetapkan, salah satunya memberi dampak pada pasar saham negara-negara ASEAN, oleh karena itu peneliti ingin ...
Yonatan Alvin Stefan +1 more
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Commodities, 2023 This study aims at examining whether hedging emerging Eastern Europe stock markets with commodities sectors can help in reducing market risks and whether it has the same effectiveness among different sectors.
Amel Melki, Ahmed Ghorbel
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Mathematics, 2023 In the turbulent landscape of financial markets, Bitcoin has emerged as a significant focus for investors due to its highly volatile returns. However, the risks and uncertainties associated with it necessitate effective hedging strategies.
Li Wei +4 more
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A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk [PDF]
Panoeconomicus, 2023 This study aims to analyze the volatility spillover between bond and commodity markets in terms of global liquidity risk. The data covers the daily closing prices of bond markets in specified countries - Brazil, Russia, India, China, and Turkey - and ...
Kirkpinar Ayşegül +1 more
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