Results 111 to 120 of about 5,852 (226)
A general multivariate threshold GARCH model with dynamic conditional correlations [PDF]
We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilities and correlations.
Fabio Trojani, Francesco Audrino
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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
doaj
Consistent ranking of multivariate volatility models [PDF]
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out-of-sample conditional ...
LAURENT, Sebastien +2 more
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journal of king Abdulaziz University Islamic Economics, 2018 The purpose of this paper is to compare the stability, in terms of contagion, of conventional and Islamic banks in Malaysia. We use a DCC-GARCH model to estimate the dynamic conditional correlation (a measure of financial contagion) for a sample of one Islamic bank and eight conventional banks during the period from March 31, 2004 to March 18, 2014 ...
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EconomiesThe 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 +1 more
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DYNAMIC RELATIONS AND SHARIA STOCK MARKET INTEGRATION WITH OIL PRICES (Studies: Indonesia, Malaysia, USA, UK, Japan 2012-2016) [PDF]
, 2017 The purpose of this research is to analyze the relationship of dynamic and integration between world sharia stock market with world crude oil price. This research can find out the integration relationship between world sharia stock market with world ...
KARATRI, Rhealin Hening +2 more
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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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Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis [PDF]
Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional correlations processes, although with the drawback, when the number of financial returns series considered increases, that the parameterizations entail
Rossi, Eduardo, Spazzini, Filippo
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Nvidia and Bitcoin Linkage Study—Based on DCC-GARCH Model
Financial Engineering and Risk Management, 2023 openaire +1 more source
Green Hydrogen Market and Green Cryptocurrencies: A Dynamic Correlation Analysis
CommoditiesThe 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 +2 more
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