Results 91 to 100 of about 18,925 (204)
Do the Green Bonds Markets React to Political Uncertainty and Financial Stress Alike?
Scientific Annals of Economics and BusinessThis study investigates the dynamic relationship between political uncertainty (EPU), financial stress, and green bond returns, utilizing the Range-DCC GARCH model and wavelet coherence analysis.
Yousra Trichilli +2 more
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ANUSANDHAN – NDIM's Journal of Business and Management Research, 2023 This study presents an analysis of the occurrence of structural flaws and spillovers of volatility among eight popular digital currencies, such as Bit coin (BTC), Litecoin (LTC), Ripple (XRP), BNBPrice, DOGECOINPrice,ETHEREUMPrice, TETHERPrice, and USDCOINPrice.
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NMIMS Management ReviewPurpose: Bitcoin, the most popular form of virtual currency, currently holds the highest market capitalization among cryptocurrencies and serves as a benchmark for the typical cryptocurrency. The main goal of this research is to evaluate Bitcoin’s potential as a distinct asset class.
Vikrant Vikram Singh +2 more
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DCC-GARCH modeller med ulike avhengighetsstrukturer
, 2013 Hovedfokuset i denne oppgaven er å finne gode metoder for modellering av volatilitet og avhengighetsstruktur i finansielle porteføljer. En spesifikk multivariat GARCH modell, Dynamic Conditional Correlation (DCC-) GARCH, kombineres med copulaer og par-copula-konstruksjoner for å få en mer fleksibel modell til å modellere nettopp dette.
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A Hybrid Model of VAR-DCC-GARCH and Wavelet Analysis for Forecasting Volatility
The 8th International Conference on Time Series and Forecasting, 2022 Maryam Nafisi-Moghadam, Shahram Fattahi
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Reevaluate the DCC-GARCH and DCC-CARR model hedging performance
, 2010 碩士本文以美國、德國、日本等國之股價指數與指數期貨為主要研究對象，美國史坦普500股價指數、德國法蘭克福指數、日本日經225指數研究期間取自1991年1月1日至2009年12月31日止，美國道瓊工業指數研究期間取自1998年1月1日至2009年12月31日止。運用不同避險績效的衡量方法，包括變異數(Variance) 、效用函數(Utility function)、半變異數(semi-variance)、低度動差(LPM)、條件風險值(CVaR)等來估計OLS、CCC-GARCH、DCC-GARCH ...
黃薇之; Huang, Wei-chih
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International Review of Economics & FinanceThis study investigates dynamic spillovers in returns and volatility among the ethanol, crude oil (WTI), and corn markets using the Quantile Vector Autoregressive Dynamic Conditional Correlation GARCH (QVAR-DCC-GARCH) model.
Roland Amagbo, Hélyette Geman
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Humanities & Social Sciences CommunicationsDuring the COVID-19 pandemic and subsequent periods of US monetary policy normalization after quantitative easing during COVID-19, global financial markets have encountered elevated levels of volatility and risk.
Kamphol Panyagometh
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Currency Hedging Strategies Using Dynamic Multivariate GARCH [PDF]
This paper examines the effect on the effectiveness of using futures contracts as hedging instruments of: 1) the model of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of the futures ...
Juan-Ángel Jiménez-Martín +2 more
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Dynamic Relationship between Precious Metals and Central European Stock Markets
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2020 High volatility and the contagion effect have led investors to consider alternative instruments as a part of their portfolios to be able to diversify away from the increasing risk in the stock markets.
Karolina Siemaszkiewicz
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