Results 21 to 30 of about 18,925 (204)
Risks, 2020 In the present work, we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis, we assume that the stock quotations of insurance companies reflect market sentiments, which ...
Anna Denkowska, Stanisław Wanat
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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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Entropy, 2015 In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation.
Yingchao Zou, Lean Yu, Kaijian He
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DCC-GARCH Modeli Yardımıyla İslami Bankalar Arasındaki Etkileşimin Belirlenmesi
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2023 Son yıllarda İslam ekonomilerindeki büyüme ve finansal sistemin gelişimiyle birlikte İslami bankaların finansal piyasalar üzerindeki etkileri artmıştır.
Semra Taspunar Altuntaş +1 more
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Sensitivity Analysis of Two-Step Multinomial Backtests for Evaluating Value-at-Risk [PDF]
تحقیقات مالی, 2022 Objective: Nowadays, the measurement of the risk of the marketplace has a significant effect on investments; however, the inadequate evaluation of this risk will cause a financial crisis and possible bankruptcy.
Mohamad Ali Rastegar, Mehdi Hemati
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Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
Финансы: теория и практика, 2022 This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
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Ranking multivariate GARCH models by problem dimension [PDF]
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding and Engle (2001), and the DCC model of Engle (2002).
Caporin, M., McAleer, M.J.
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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
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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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Comparison of Markowitz Model and DCC-tCopula-LVaR for Portfolio Optimization in the Tehran Stock Exchange [PDF]
تحقیقات مالی, 2023 Objective: Considering that investing in the stock market is associated with risk, therefore, its measurement is one of the most important issues for investors.
Gholamreza Taghizadegan +3 more
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