Results 51 to 60 of about 3,891 (206)

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

The implication of cryptocurrency volatility on five largest African financial system stability

Financial Innovation
This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility ...
Tonuchi E. Joseph, Atif Jahanger, Joshua Chukwuma Onwe, Daniel Balsalobre-Lorente   +3 more
doaj   +1 more source

Exchange Markets and Stock Markets Integration in Latin-America

Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2022
We analyze the relationship between the exchange markets and the integration process of the Latin American stock markets (MILA), focusing the analysis on two points.
Jorge Andrés Muñoz Mendoza, Carmen Lissette Veloso Ramos, Sandra María Sepúlveda Yelpo, Carlos Leandro Delgado Fuentealba, Edinson Edgardo Cornejo Saavedra   +4 more
doaj   +1 more source

Price and Volatility Transmission From International to Domestic Food and Fertilizer Markets in Central America

Agricultural Economics, Volume 57, Issue 1, January 2026.
ABSTRACT Recent global shocks have triggered sharp spikes in international food and fertilizer prices, raising concerns about their domestic impacts. This study examines the extent to which international price levels and volatility are transmitted to domestic food and fertilizer markets in seven Central American countries.
Manuel A. Hernandez, Francisco Ceballos, Maria Lucia Berrospi, Viviana M. E. Perego, Melissa Brown, Elena Mora Lopez   +5 more
wiley   +1 more source

Improving forecasting performance using covariate-dependent copula models

, 2018
Copulas provide an attractive approach for constructing multivariate distributions with flexible marginal distributions and different forms of dependences.
Kang, Yanfei, Li, Feng
core   +1 more source

The role of the information set for forecasting - with applications to risk management [PDF]

, 2014
Predictions are issued on the basis of certain information. If the forecasting mechanisms are correctly specified, a larger amount of available information should lead to better forecasts.
Eulert, Matthias, Holzmann, Hajo
core   +1 more source

MEASURING SYSTEMIC RISK OF CHINA'S LISTED BANKS [PDF]

Financial Studies, 2021
After the financial crisis in 2008, the world became more aware of the importance of the systemic risk. Within China’s financial system, commercial banks have a dominant position.
Ping ZHANG, Yiru WANG, Min ZHAO, Tzu-Yi YANG   +3 more
doaj  

Bilevel Network Modeling and Risk Transmission in Heterogeneous Financial Data

Complexity, Volume 2026, Issue 1, 2026.
This study constructs a bilevel network model based on heterogeneous financial data to explore the complex network characteristics and risk transmission mechanisms in the stock market. Using the trading data and textual sentiment data of Shanghai Stock Exchange (SSE) 50 constituent stocks over the past 5 years, a daily return network model and a ...
Suhang Wang, Yuhua Xu, Yifeng Wei, Zhen Zhang   +3 more
wiley   +1 more source

Portfolio optimization with mixture vector autoregressive models

, 2020
Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as ...
Boshnakov, Georgi N., Ravagli, Davide
core