Results 101 to 110 of about 307 (133)

Value-at-Risk with Application of DCC-GARCH Model

2016
The article concentrates on modelling of volatility of capital markets and estimation of Value-at-Risk. The aim of the article is the description of volatility and interdependencies among three indices: WIG (Poland), DAX (Germany) and DJIA (United States). In order to measure the volatility and strength of interdependencies DCC-GARCH-In model was used,
Meluzin, Tomas, Zinecker, Marek, Pietrzak, Michal Bernard, Faldzinski, Marcin, Balcerzak, Adam P.   +4 more
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Research on the correlation between the SHIBOR and stock market returns based on the DCC-GARCH model

2016 13th International Conference on Service Systems and Service Management (ICSSSM), 2016
Interbank Offered market (also called “Interbank Lending market”) and the stock market are important parts of China's financial market. This paper studies the relationship of Shanghai interbank offered rate (Interbank Offered Rate Shanghai, abbreviate “SHIBOR”) and stock market returns, which is benefit to grasp the change rules of them.
null Lu Xiuhong, null Zhu Zhengxuan
openaire   +1 more source

New weather indices for China: based on DCC-GARCH and GRU models

International Journal of Services Technology and Management, 2021
Qing Zhu 0007, Jiarui Li, Renxian Zuo, Zheyu Guo   +3 more
openaire   +1 more source

Cryptocurrency as a Hedging Alternative- DCC GARCH Model Analysis using R Programming

2022 5th International Conference on Contemporary Computing and Informatics (IC3I), 2022
Vikrant Vikram Singh, Harendra Singh, Aditya Kumar Gupta, Prashant Dev Yadav   +3 more
openaire   +1 more source

Stock Price Prediction using Multidimensional Geometric Browinian Motion and DCC-GARCH Models

Afrika Statistika
https://lo2wt.com/statpas.lo2wt.com/ajas/admin/articles/jas_pdfs/jas_2025_01_01_def.pdf The primary focus of financial modeling is to understand how stock prices fluctuate over time. In this paper, we use two financial models, the Multidimensional Geometric Brownian Motion model and the DCC-GARCH model to analyze these movements.
Miarisoa Elalie Rasamimanana, Roger Fidèle Ranomenjanahary Ranomenjanahary, Aklilu Zeleke   +2 more
openaire   +1 more source

Cross-city hedging with weather derivatives using bivariate DCC GARCH models [PDF]

, 2006
As monopolies gave their way to competitive wholesale electricity markets, volumetric risk came into play. Electricity supplier can buy weather derivatives to protect from volumetric risk due to unexpected weather conditions. However, contracts can only be negotiated for weather variables measured at few selected locations. To hedge their specific risk,
openaire   +1 more source

Linear time-varying regression with a DCC-GARCH model for volatility

Applied Economics, 2015
Jong-Min Kim, Hojin Jung, Li Qin
openaire   +1 more source

Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach

International Review of Financial Analysis, 2022
Shigeyuki Hámori, Xie He
exaly  

Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches

Axioms, 2022
Shen-Ho Chang, Chen Kuo Shing
exaly  

Examining sustainable stock indices with the DCC-GARCH model and the impact of oil prices on this relationship

2023
Bu çalışma, ülkeler arası sürdürülebilir hisse senedi endeksleri arasındaki zamana bağlı değişen koşullu korelasyonları ve volatiliteyi incelemeyi amaçlamakta; aynı zamanda enerji piyasaları ile sürdürülebilir hisse senedi performansları arasındaki ilişki dinamiklerini ortaya koymayı hedeflemektedir.
openaire   +1 more source