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Value-at-Risk with Application of DCC-GARCH Model
2016The 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 +4 more
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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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Finance Research Letters, 2016
This paper considers the pricing problem of catastrophic mortality bonds, which have been traded among financial institutions since about 10 years ago. We first use a DCC-GARCH model to capture the evolution of the aggregate mortality rates for five developed countries jointly.
Zihe Wang, Johnny Siu-Hang Li
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This paper considers the pricing problem of catastrophic mortality bonds, which have been traded among financial institutions since about 10 years ago. We first use a DCC-GARCH model to capture the evolution of the aggregate mortality rates for five developed countries jointly.
Zihe Wang, Johnny Siu-Hang Li
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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,
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Economics Letters, 2013
Abstract Using a new uncertainty index from Baker et al. (2012) , we evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and inflation changed from negative to positive during ...
Paul M. Jones, Eric Olson
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Abstract Using a new uncertainty index from Baker et al. (2012) , we evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and inflation changed from negative to positive during ...
Paul M. Jones, Eric Olson
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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 +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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The Relationship Between Spot Price, Future Price and Risk: Evidence From DCC GARCH Model
2021The main purpose of the study is to investigate the volatility spillover effect of the measurable risk perception of gold on gold prices. In this context, gold risk, gold spot and gold futures indices were used in the study. In the study, using the data of 16.03.2011–03.09.2021, the volatility spread of the gold risk factor on gold prices was examined ...
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Antibody–drug conjugates: Smart chemotherapy delivery across tumor histologies
Ca-A Cancer Journal for Clinicians, 2022Paolo Tarantino +2 more
exaly
Linear time-varying regression with a DCC-GARCH model for volatility
Applied Economics, 2015Jong-Min Kim, Hojin Jung, Li Qin
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