Results 121 to 130 of about 5,852 (226)
GFC-Robust Risk Management Strategies under the Basel Accord [PDF]
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models.
Juan-Ángel Jiménez-Martín +2 more
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Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]
PLoS One, 2023 Danila N.
europepmc +1 more source
Correlation dynamics between Asia-Pacific, EU and US stock returns [PDF]
This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, Engle and Sheppard (2006).
Bredin, Don P +2 more
core +1 more source
, 2014 We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data.
Barunik, Jozef +2 more
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Scanning Multivariate Conditional Densities with Probability Integral Transforms [PDF]
This paper introduces new ways to construct probability integral transforms of random vectors that complement the approach of Diebold, Hahn, and Tay (1999) for evaluating multivariate conditional density forecasts.
Isao Ishida
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On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models [PDF]
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability.
Francesco Violante +2 more
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash [PDF]
, 2010 Pesaran, MH
core +1 more source
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation [PDF]
We propose a generalization of the Dynamic Conditional Correlation multivariate GARCH model of Engle (2002) and of the Asymmetric Dynamic Conditional Correlation model of Cappiello et al. (2006).
Massimiliano Caporin, Monica Billio
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Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source