Results 121 to 130 of about 18,925 (204)

Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany

, 2016
The phenomenon of growing capital market linkages is a significant exogenous factor affecting the effectiveness of national economic policies and risk management processes in enterprises. As a result the identification of interdependencies among capital markets is important both from the macro and microeconomic perspective. In this context the main aim
Zineker, Marek, Balcerzak, Adam P., Fałdziński, Marcin, Meluzín, Tomáš, Pietrzak, Michał Bernard   +4 more
openaire   +2 more sources

Portfolio based VaR model: a combination of extreme value theory (EVT) and dynamic conditional correlation (DCC) model

, 2013
This thesis fills a gap in the risk management literature and expands the understanding of the portfolio value at risk (VaR) by providing a theoretical market risk measurement of a portfolio (called “GEV-DCC model”), which combines the tail dynamic ...
Wang, Jo-Yu
core  

Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. [PDF]

Comput Econ, 2022
Afuecheta E, Okorie IE, Nadarajah S, Nzeribe GE.   +3 more
europepmc   +1 more source

Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]

Entropy (Basel)
Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
europepmc   +1 more source

On the relationship between oil market and European stock returns. [PDF]

Environ Sci Pollut Res Int, 2023
Magazzino C, Shahbaz M, Adamo M.
europepmc   +1 more source

Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach [PDF]

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval
Marcelo Brutti Righi, Paulo Sérgio Ceretta   +1 more
core  

Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]

PLoS One
Zeng J, Wu J.
europepmc   +1 more source

The quantile domain volatility shock transmission between carbon emission trading system and European emerging stock markets: Practical implications for portfolio optimization. [PDF]

PLoS One
Aljughaiman AA, Tabash MI, Issa SS, Almulhim AA.   +3 more
europepmc   +1 more source

The Protective Nature of Gold During Times of Oil Price Volatility: An Analysis of the COVID-19 Pandemic. [PDF]

Extr Ind Soc, 2023
Li Y, Umair M.
europepmc   +1 more source

Multivariate models of commodity futures markets: a dynamic copula approach. [PDF]

Empir Econ, 2023
Chen S, Li Q, Wang Q, Zhang YY.
europepmc   +1 more source