Results 71 to 80 of about 41,461 (206)
Waves of Uncertainty: Crude Oil Under Geopolitical, Economic, and ESG Turbulence
Energy Science &Engineering, Volume 14, Issue 3, Page 1258-1272, March 2026.Dynamic copula and wavelet coherence reveal that geopolitical, economic, and sustainability uncertainties significantly shape crude oil price co‐movements. Long‐term coherence, especially post‐2015, highlights the growing role of ESG risks alongside geopolitical shocks and economic crises in global energy risk transmission.
Sana Braiek +3 more
wiley +1 more source
, 2021 When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing.
Nordström, Christofer
core +1 more source
Revista de Economia e Sociologia Rural, 2019 Resumo Trabalhos recentes têm mostrado uma falta de integração entre o mercado do produtor e o varejo na cadeia produtiva da carne suína. Uma solução para amenizar esse entrave poderia ser feito por meio da estratégia de hedge dinâmico com o modelo Garch-
Jovani Patias +4 more
doaj +1 more source
Systemic risk in the insurance sector: A semi‐parametric approach based on Spearman's rho
Risk Management and Insurance Review, Volume 29, Issue 1, Page 64-98, Spring 2026.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
Preliminary tests for DCC-GARCH model.
, 2022 Preliminary tests for DCC-GARCH model.
Farman Ullah Khan (9279383) +5 more
core +1 more source
Journal of Economic Surveys, Volume 40, Issue 1, Page 443-468, February 2026.ABSTRACT Cryptocurrency markets are known for their wide price fluctuations, lack of central control, and fast‐paced development. These characteristics present serious challenges to traditional theories about how markets work and how prices reflect available information.
Giulia Fantini, Joy Jia, Chiara Oldani
wiley +1 more source
Maximum likelihood estimates of DCC-GARCH models.
, 2022 Maximum likelihood estimates of DCC-GARCH models.
Farman Ullah Khan (9279383) +5 more
core +1 more source
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models [PDF]
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC.
Michael McAleer, Massimiliano Caporin
core +2 more sources
IET Renewable Power Generation, Volume 20, Issue 1, January/December 2026.This study proposes an optimal operation framework for active distribution networks that explicitly captures dynamic PV correlation using a SARIMA‐DCC‐GARCH model. By integrating affine power flow analysis with flexible resource scheduling, the method effectively maximises photovoltaic consumption and minimises operational costs while ensuring voltage ...
Junpeng Zhu +6 more
wiley +1 more source
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH [PDF]
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances.
Michael McAleer, Massimiliano Caporin
core +6 more sources