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Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study
2010Modeling volatility and co-volatility of a few zero-coupon bonds is a fundamental element in the field of fix-income risk evaluation. Multivariate GARCH model (MGARCH), an extension of the well-known univariate GARCH, is one of the most useful tools in modeling the co-movement of multivariate time series with time-varying covariance matrix. Grounded on
Yiyu Huang, Wenjing Su, Xiang Li 0033
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Apple, Microsoft, Amazon and Google - A Correlation Analysis: Evidence from a DCC-GARCH Model
SSRN Electronic Journal, 2020In this paper, we examine time-varying correlations among stock returns of Apple, Microsoft, Amazon and Google. Employing a multivariate DCC-GARCH model, we find that there are strong linkages among these four assets. Starting from lower levels, correlation values for most asset pairs exhibit a stable ascending movement in recent upward trended markets
Christoph Koser, Juergen Klaus
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Neuroscience Research, 2021
We suggest a time-varying partial correlation as a statistical measure of dynamic functional connectivity (dFC) in the human brain. Traditional statistical models often assume specific distributions on the measured data such as the Gaussian distribution, which prohibits their application to neuroimaging data analysis.
Namgil, Lee, Jong-Min, Kim
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We suggest a time-varying partial correlation as a statistical measure of dynamic functional connectivity (dFC) in the human brain. Traditional statistical models often assume specific distributions on the measured data such as the Gaussian distribution, which prohibits their application to neuroimaging data analysis.
Namgil, Lee, Jong-Min, Kim
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Directional time-varying partial correlation with the Gaussian copula–DCC–GARCH model
Applied Economics, 2018This article suggests a directional time-varying partial correlation based on the dynamic conditional correlation (DCC) method. A recent study proposed the copula DCC based on the vine structure.
Jong-Min Kim, Hojin Jung
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The more contagion effect on emerging markets: The evidence of DCC-GARCH model
Economic Modelling, 2012Abstract The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during U.S. subprime crisis for most of the developed and emerging countries.
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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), 2016Interbank 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
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New weather indices for China: based on DCC-GARCH and GRU models
International Journal of Services Technology and Management, 2021Qing Zhu 0007 +3 more
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Cryptocurrency as a Hedging Alternative- DCC GARCH Model Analysis using R Programming
2022 5th International Conference on Contemporary Computing and Informatics (IC3I), 2022Vikrant Vikram Singh +3 more
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Stock Price Prediction using Multidimensional Geometric Browinian Motion and DCC-GARCH Models
Afrika Statistikahttps://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 +2 more
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Linear time-varying regression with a DCC-GARCH model for volatility
Applied Economics, 2015Jong-Min Kim, Hojin Jung, Li Qin
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