Results 101 to 110 of about 18,925 (204)

Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets [PDF]

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR).
Chang, C., McAleer, M.J., Tansuchat, R.
core   +3 more sources

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
openaire   +1 more source

On the Forecasting Accuracy of Multivariate GARCH Models [PDF]

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems.
Jeroen V.K. Rombouts, Sébastien Laurent, Francesco Violante   +2 more
core   +2 more sources

Dynamics Between Foreign Portfolio Investment, Stock Price and Financial Development in South Africa: A SVAR Approach

Economies
The goal of this study is to look into the dynamic relationship between stock prices, foreign portfolio investment, and financial development in the South African economy. Federal Reserve Economic Data (FRED) provided quarterly time series data from 1960
Kazeem Abimbola Sanusi, Zandri Dickason-Koekemoer   +1 more
doaj   +1 more source

R2 decomposed connectedness measures and multivariate portfolio techniques using DCC-GARCH models

, 2023
In this study, we investigate the return propagation mechanism across four clean energy indices, namely, the NASDAQ OMX Green Economy Index, NASDAQ OMX Solar Energy Index, NASDAQ OMX Wind Energy Index, and NASDAQ OMX Geothermal Energy Index ranging from December 21st, 2010 until June 2nd, 2023 by using a novel DCC-GARCH-based R2 decomposed ...
openaire   +1 more source

Green Hydrogen Market and Green Cryptocurrencies: A Dynamic Correlation Analysis

Commodities
The urgent need to mitigate climate change has elevated green hydrogen as a sustainable alternative to fossil fuels, while green cryptocurrencies have emerged to address the environmental concerns of traditional cryptocurrency mining.
Eder J. A. L. Pereira, Thanmillys Nadhynne de Lima da Conceição, Emanuel Cruz da Lima   +2 more
doaj   +1 more source

Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange

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
core  

Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]

PLoS One, 2023
Danila N.
europepmc   +1 more source

Nvidia and Bitcoin Linkage Study—Based on DCC-GARCH Model

Financial Engineering and Risk Management, 2023
openaire   +1 more source