Results 41 to 50 of about 3,903 (204)
, 2014 We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data.
Barunik, Jozef +2 more
core
Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
wiley +1 more source
Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods
Media Ekonomi dan ManajemenThis study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional ...
Dismas Oktavianto +2 more
doaj +1 more source
Jurnal Ekonomi Bisnis dan Kewirausahaan (JEBIK), 2020 Changes in the situation that move very quickly on the commodity market have an impact on financial markets, one of which is the stock market in Indonesia.
Yunita Dewi Safitri, Robiyanto Robiyanto
doaj +1 more source
Establishing the nature of Bitcoin : A DCC-GARCH analysis
, 2022 Since its start in 2008 up until the date of this study, Bitcoin has steadily gained considerablyin popularity. However, the digital cryptocurrency still seems to be surrounded by asubstantial amount of mystery as to whether it deserves a spot in anyone's portfolio. Manystudies have tried to pin Bitcoin as a safe haven asset to the likes of gold due to
Ekstrand, Amanda, Musial, Mateusz
openaire +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho +3 more
wiley +1 more source
Using MGARCH to Estimate Value at Risk [PDF]
تحقیقات مالی, 2013 In this paper we compared multivariate GARCH models toestimate Value-at-Risk. We used a portfolio of weekly indexesincluding TEDPIX, KLSE, XU100 during ten years. To estimateValue-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tseand Tsui, Dynamic
Mohammad Reza Rostami, Fatemeh Haqiqi
doaj +1 more source
International Studies of Economics, EarlyView.Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley +1 more source
Systemic risk in the insurance sector: A semi‐parametric approach based on Spearman's rho
Risk Management and Insurance Review, EarlyView.Abstract We propose a new method to measure systemic risk in the global insurance sector by analyzing interconnectedness among firms under different market conditions. Using a semi‐parametric approach that relies on the Spearman correlation and copula‐based partial dependence, we assess relationships in relatively stable, extremely bullish, and ...
Leonardo Iania +2 more
wiley +1 more source
Dynamic Conditional Correlations for Asymmetric Processes [PDF]
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models
Manabu Asai, Michael McAleer
core +6 more sources