Results 161 to 170 of about 18,925 (204)

Exploring volatility transmission in Capesize freight contracts: Insights from energy and commodity markets. [PDF]

PLoS One
Mi JJ, Ahmed S, Chen Y.
europepmc   +1 more source

Risk and causality Co-movement of Malaysia's stock market with its emerging and OECD trading partners. Evidence from the wavelet approach.

PLoS One
Wang X, Guo H, Waris M, Din BH.
europepmc   +1 more source

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Modeling structure of inflation in Türkiye: DCC-GARCH and Markov switching model

Journal of Financial Economic Policy
Purpose Recent surges in inflation have posed significant challenges for Türkiye, with the annualinflation rate culminating at 83.45% by the close of 2022. The purpose of the study is to take a closer look at the details behind the rising inflation trend in Türkiye.
Erginbay Ugurlu, Mortaza Ojaghlou, Evan Lau   +2 more
exaly   +2 more sources

On the forecasting of multivariate financial time series using hybridization of DCC-GARCH model and multivariate ANNs

Neural Computing and Applications, 2022
Samreen Fatima, Mudassir Uddin
exaly   +2 more sources

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
openaire   +2 more sources

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,
Kosater, Peter
openaire   +3 more sources

Linear time-varying regression with Copula–DCC–GARCH models for volatility

Economics Letters, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kim, Jong-Min, Jung, Hojin
openaire   +1 more source

Variance Minimization Hedging Analysis Based on a Time-Varying Markovian DCC-GARCH Model

IEEE Transactions on Automation Science and Engineering, 2020
Considering time-varying transition probability (TVTP), this article combines Markov regime switching with a dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model to construct a new hedging model and study a state-dependent minimum variance hedging ratio.
Jia Wang 0047, MengChu Zhou, Xiu Jin, Xiwang Guo 0001, Liang Qi 0001, Xu Wang 0024   +5 more
openaire   +1 more source