MEASURING SYSTEMIC RISK OF CHINA'S LISTED BANKS [PDF]
Financial Studies, 2021 After the financial crisis in 2008, the world became more aware of the importance of the systemic risk. Within China’s financial system, commercial banks have a dominant position.
Ping ZHANG +3 more
doaj
A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk [PDF]
Panoeconomicus, 2023 This study aims to analyze the volatility spillover between bond and commodity markets in terms of global liquidity risk. The data covers the daily closing prices of bond markets in specified countries - Brazil, Russia, India, China, and Turkey - and ...
Kirkpinar Ayşegül +1 more
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Is there an intraday volatility spillover between exchange rate, gold and crude oil?
Journal of Open Innovation: Technology, Market and Complexity, 2023 The study examines the intraday volatility spillover between the exchange rate, gold, and crude oil using the Dynamic Generalized Conditional Correlation GARCH model (DCC GARCH) and the BEKK GARCH model.
Moonis Shakeel +4 more
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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution [PDF]
, 2007 This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH
Pesaran, Bahram, Pesaran, M. Hashem
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Seasonality and Dynamic Spatial Contagion of Air Pollution in 42 Chinese Cities
The Scientific World Journal, 2013 To monitor and improve the urban air quality, the Chinese government has begun to make many efforts, and the interregional cooperation to cut and improve air quality has been required.
Zhanqiong He +2 more
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Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis
Risks, 2021 Volatility and investor sentiment have been factors for the slow adoption rate of Bitcoin (BTC) that was first recognized in 2008 as a potential store of value, investment vehicle and a hedge alternative to gold during a recession.
Karl Oton Rudolf +2 more
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Investments in the Asian water sector: an analysis based on the DCC-GARCH model
Humanities and Social Sciences Communications, 2022 AbstractThe availability of potable water is a challenging issue for many Asian countries where economies are still expanding and the population is growing. It is not difficult to observe that water scarcity will become far worse, sooner rather than later. In this study, we investigate the relationships among water indices in five Asian markets (namely
Rajibur Reza +3 more
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Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework [PDF]
Mathematics, 2021 The research paper is devoted to developing a mathematical approach for dealing with time-varying parameters in rolling window logit models for credit risk assessment. Forecasting coefficients yields a better model accuracy than a trivial approach of using computed past statistics parameters for the next time period.
Nikita Moiseev +5 more
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Using MGARCH to Estimate Value at Risk [PDF]
تحقیقات مالی, 2013 In this paper we compared multivariate GARCH models toestimate Value-at-Risk. We used a portfolio of weekly indexesincluding TEDPIX, KLSE, XU100 during ten years. To estimateValue-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tseand Tsui, Dynamic
Mohammad Reza Rostami, Fatemeh Haqiqi
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The effects of volatility and changes in conditional correlations in the stock markets of Russia and developed countries [PDF]
Ekonomski Anali, 2020 The aim of this article is to identify patterns of profitability volatility and to establish the degree of dynamic conditional correlation between the stock markets of developed countries and those of Russia.
Salmanov Oleg N. +4 more
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