Results 61 to 70 of about 5,852 (226)
Improved Dynamic Portfolio Selection Model with DCC-GARCH: Evidence from the U.S. Stock Market
BCP Business & Management, 2022 As an important financial instrument in real financial market, the selection and management of portfolio has always been a significant and hot issue in the field of economics. This study collects data of stocks daily returns in the real US stock market to test whether DCC-GARCH model can improve the performance of portfolio return compared with the ...
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Bilevel Network Modeling and Risk Transmission in Heterogeneous Financial Data
Complexity, Volume 2026, Issue 1, 2026.This study constructs a bilevel network model based on heterogeneous financial data to explore the complex network characteristics and risk transmission mechanisms in the stock market. Using the trading data and textual sentiment data of Shanghai Stock Exchange (SSE) 50 constituent stocks over the past 5 years, a daily return network model and a ...
Suhang Wang +3 more
wiley +1 more source
A component model for dynamic correlations [PDF]
, 2009 The idea of component models for volatility is extended to dynamic correlations. We propose a model of dynamic correlations with a short- and long-run component specification.
Colacito, Riccardo +2 more
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Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach [PDF]
Sustainability, 2019 A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant of stock market interdependence.
Ahmed Shafique Joyo, Lin Lefen
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International Studies of Economics, Volume 20, Issue 4, Page 390-409, December 2025.ABSTRACT This study examines the impact of climate policy uncertainty (CPU) on world energy stock returns. Evidence shows that a rise in CPU causes stocks to plummet in individual countries, regions, and the world energy stock markets. The negative effects are also exhibited in climate induced risks, the covariance between a change in CPU and equity ...
Thomas C. Chiang
wiley +1 more source
Journal of Futures Markets, Volume 45, Issue 11, Page 2166-2185, November 2025.ABSTRACT Our research is one of the first to provide evidence to distinguish between two types of uncertainty: the volatility (VOL) risk and the volatility‐of‐volatility (VOV) risk. We outline a theoretical framework of state‐dependent correlations between the S&P 500 stock index and volatility index (VIX).
Leon Li, Carl R. Chen
wiley +1 more source
International Journal of Management and Economics, 2015 This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period.
Arfaoui Mongi, Ben Rejeb Aymen
doaj +1 more source
Borsa Istanbul Review, 2019 We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh +2 more
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Dynamic Conditional Correlations for Asymmetric Processes [PDF]
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (wDCC) model. The paper applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models.
Manabu Asai, Michael McAleer
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Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data [PDF]
, 2007 We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets.
Kocenda, Evûen, Égert, Balázs
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