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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models [PDF]
The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK ...
Caporin, M., McAleer, M.J.
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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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Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2019 Commodities play a vital role in the development of emerging economies, like India. From this perspective, the study presents dynamic correlation in the prices of gold, crude oil, exchange rate and Indian stock market from April 01, 2014 to March 28 ...
Saif Siddiqui, Preeti Roy
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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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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants [PDF]
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance.
Alessandro Lanza +3 more
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Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model [PDF]
Proceedings of the 2017 3rd International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2017), 2017 Haixia Wu, Yan Ge
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Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2022 A major factor in the Iranian stock market is the risk-taking of the economy. The stock index falls when the economy is at higher risk, either by protests or the possibility of war. The present study was conducted to investigate the existence of fluctuations in the currency, stock, gold, and oil markets during the period 2017-2021 using the common t ...
AHMAD FARHADI +2 more
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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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Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange [PDF]
In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility.
Yilmaz, Tolgahan
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Multivariate DCC-GARCH Model: -With Various Error Distributions
, 2009 In this thesis we have studied the DCC-GARCH model with Gaussian, Student's $t$ and skew Student's t-distributed errors. For a basic understanding of the GARCH model, the univariate GARCH and multivariate GARCH models in general were discussed before the DCC-GARCH model was considered.
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