Results 11 to 20 of about 18,925 (204)
Multivariate DCC-GARCH Model: -With Various Error Distributions
, 2009 In this thesis we have studied the DCC-GARCH model with Gaussian, Student's $t$ and skew Student's t-distributed errors. For a basic understanding of the GARCH model, the univariate GARCH and multivariate GARCH models in general were discussed before the DCC-GARCH model was considered.
Orskaug, Elisabeth
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SAGE Open, 2021 To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock ...
Fahim Afzal +4 more
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On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
Mathematics, 2020 This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula ...
Jong-Min Kim, Seong-Tae Kim, Sangjin Kim
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International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
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Mathematics, 2023 In the turbulent landscape of financial markets, Bitcoin has emerged as a significant focus for investors due to its highly volatile returns. However, the risks and uncertainties associated with it necessitate effective hedging strategies.
Li Wei +4 more
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Commodities, 2023 This study aims at examining whether hedging emerging Eastern Europe stock markets with commodities sectors can help in reducing market risks and whether it has the same effectiveness among different sectors.
Amel Melki, Ahmed Ghorbel
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Frontiers in Energy Research, 2023 With a high proportion of photovoltaic (PV) connected to the active distribution network (ADN), the correlation and uncertainty of the PV output will significantly affect the grid dispatching operation.
Xin Ma, Han Wu, Yue Yuan
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Dynamic relationships among green bonds, CO2 emissions, and oil prices
Frontiers in Environmental Science, 2022 Green bonds play a pivotal role in the financing of sustainable infrastructure systems. Likewise, CO2 emissions and oil prices can cause an impact on the green bonds market.
Nini Johana Marín-Rodríguez +2 more
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Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms [PDF]
Journal of Forecasting, 2020 AbstractThis study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y lmaz (Journal of Econometrics, 2014, 182(1), 119–134)
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The impact of world oil and food price shocks on the interdependence of Brazil and Russia: SVAR-DCC-GARCH model [PDF]
BRICS Journal of Economics, 2021 This study seeks to identify the extent to which global oil and food price volatilities affected the interdependence of the Brazilian and Russian economies in the period from 1996 to 2021. The ARCH/GARCH framework was used to model the volatility of oil and food prices.
Bhebhe,Samkelisiwe, Ndlovu,Ian
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