Results 21 to 30 of about 41,461 (206)
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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Variation de risque mondial, local et de change sur les marches boursiers
Academic Finance, 2022 Objectif : étudier l’importance des risques mondiaux, locaux et de change Méthode : MEDAFI et DCC-GARCH Résultats : le risque mondial, local et de change sont évalués et varient dans le temps.
Lamia SEBAI, siwar ELLOUZ
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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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GARCH-DCC conventional stock index, shariah stock index, and currency.
, 2023 GARCH-DCC conventional stock index, shariah stock index, and currency.
Nevi Danila (17241744)
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Frontiers in Energy Research, 2023 With a high proportion of photovoltaic (PV) connected to the active distribution network (ADN), the correlation and uncertainty of the PV output will significantly affect the grid dispatching operation.
Xin Ma, Han Wu, Yue Yuan
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FINANCIAL INTEGRATION OF INDIAN AND DEVELOPED MARKETS: A DCC GARCH ANALYSIS
, 2022 Abstract The stock market is the main channel of financial integration for emerging economies like India. Globalization, deregulation of the market, capital account convertibility, and information and technology are the key factors contributing to the integration of the world markets.
Dr. ANURAG AGNIHOTRI, SHAGUNARORA
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Ranking multivariate GARCH models by problem dimension [PDF]
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002).
Caporin, M., McAleer, M.J.
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The Journal of Indonesia Sustainable Development Planning, 2022 The correlation between the capital market of G20 member countries is important to analyze. Depending on a country’s economy, capital market integration may have different effects. A more intense bilateral relationship (trade intensity) can significantly
Rahma Tri Benita
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Entrepreneurial Business and Economics Review, 2020 Objective: The objective of this article is to study the correlations between the most important European insurers and their participation in systemic risk in the insurance sector. We compare systemic risk in different market regimes.
Anna Denkowska, Stanisław Wanat
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