Results 11 to 20 of about 41,461 (206)
Financial technology and ESG market: A wavelet-DCC GARCH approach [PDF]
Research in International Business and Financeتبحث هذه الورقة في الحركة المشتركة بين أسواق التكنولوجيا المالية والحوكمة البيئية والاجتماعية والحوكمة من منظور مجال التكرار الزمني. نحن نستخدم نهجًا اقترحه فاشا وبارونيك (2012) ونشمل تحليل تماسك الموجات الصغيرة والارتباط الشرطي الديناميكي من نموذج GARCH متعدد المتغيرات (DCC GARCH). نجد علاقة إيجابية كبيرة ثنائية الاتجاه بين مؤشرات FinTech و ESG.
Babak Naysary, Keshab Shrestha
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DCC-GARCH modeller med ulike avhengighetsstrukturer [PDF]
, 2013 Hovedfokuset i denne oppgaven er å finne gode metoder for modellering av volatilitet og avhengighetsstruktur i finansielle porteføljer. En spesifikk multivariat GARCH modell, Dynamic Conditional Correlation (DCC-) GARCH, kombineres med copulaer og par-copula-konstruksjoner for å få en mer fleksibel modell til å modellere nettopp dette.
Aardal, Helene
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On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
Mathematics, 2020 This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula ...
Jong-Min Kim, Seong-Tae Kim, Sangjin Kim
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SAGE Open, 2021 To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock ...
Fahim Afzal +4 more
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Dynamic relationships among green bonds, CO2 emissions, and oil prices
Frontiers in Environmental Science, 2022 Green bonds play a pivotal role in the financing of sustainable infrastructure systems. Likewise, CO2 emissions and oil prices can cause an impact on the green bonds market.
Nini Johana Marín-Rodríguez +2 more
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International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
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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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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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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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