Results 1 to 10 of about 307 (133)
Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework [PDF]
Mathematics, 2021 The research paper is devoted to developing a mathematical approach for dealing with time-varying parameters in rolling window logit models for credit risk assessment. Forecasting coefficients yields a better model accuracy than a trivial approach of using computed past statistics parameters for the next time period.
Danish Mir Sayed Shāh +2 more
exaly +3 more sources
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis
Heliyon, 2023 This research examines the impact of the coronavirus index on the returns and volatility of ten major cryptocurrencies during the COVID-19 pandemic. For this purpose, we applied a multivariate volatility GARCH model with an integrated dynamic conditional correlation (DCC) approach to daily cryptocurrency values observed data during the January-December,
Saliha Theiri, Kais Ben-Ahmed
exaly +4 more sources
Cogent Economics & FinanceThis study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices, specifically focusing on Green Finance Indices (such as solar, wind, and nuclear) and Economic Indices (like the Baltic Dry Index and
Iulia Cristina Iuga +2 more
doaj +3 more sources
Aperture NeuroAlzheimer's disease (AD) has a prolonged latent phase. Sensitive biomarkers of amyloid beta ($A\beta$), in the absence of clinical symptoms, offer opportunities for early detection and identification of patients at risk. Current $A\beta$ biomarkers, such
Kun Yue +4 more
doaj +3 more sources
Using Multivariate Dynamic Conditional Correlation GARCH model to analysis financial market data [PDF]
Maǧallaẗ Al-Buḥūṯ Al-Tiǧāriyyaẗ, 2023 In financial markets, understanding the dynamic relationships between assets is crucial for effective portfolio management. This study highlights the importance of using the DCC-GARCH (Dynamic Conditional Correlation - Generalized Autoregressive ...
Fatma Alshenawy, Doaa A. Abdo
doaj +1 more source
Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
doaj +1 more source
Application of futures in calculating optimal hedge ratio in crude oil market: Comparison between static and dynamic approaches [PDF]
مدلسازی اقتصادسنجی, 2020 Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio.
Simin Aleali +3 more
doaj +1 more source
SAGE Open, 2021 To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock ...
Fahim Afzal +4 more
doaj +1 more source
On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
Mathematics, 2020 This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula ...
Jong-Min Kim, Seong-Tae Kim, Sangjin Kim
doaj +1 more source
International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
doaj +1 more source