Results 21 to 30 of about 307 (133)
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
doaj +1 more source
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
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Przegląd Statystyczny, 2015 The article seeks to investigate the issue of interdependence that during crisis periods in the capital markets is of particular importance due to the likelihood of causing a crisis in the real economy. The research objective of the article is to identify this interdependence in volatility.
Faldzinski, Marcin +1 more
openaire +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source