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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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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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Linear time-varying regression with a DCC-GARCH model for volatility
Applied Economics, 2015Jong-Min Kim, Hojin Jung, Li Qin
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Gaza's Grip: DCC GARCH analysis of volatility and correlations
Pedro Angosto-Fernández +1 moreopenaire +1 more source
Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach
International Journal of Computational Economics and EconometricsChiraz Lakhal, Imen Zorgati
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Döviz Kuru Oynaklığının Türkiye‟nin Endüstriyel Üretimine Etkisi: DCC-Garch Yöntemi
2022Arvas, Mehmet Akif, İsaoğlu, Asima
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DCC-GARCH Using Histogram Valued Time Series in Asian Countries
Wilawan Srichaikul +2 moreopenaire +1 more source
On completing the connectedness analysis—A bootstrap-based DCC-GARCH approach
The North American Journal of Economics and FinanceJingliang Huai +2 more
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