Results 1 to 10 of about 6,666 (205)
Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
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Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
Axioms, 2022 This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models.
Kuo-Shing Chen, Shen-Ho Chang
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East Asian Financial Contagion under DCC-Garch
The International Journal of Banking and Finance, 2009 We consider the definition and measurement of contagion by analysing the 1997 East Asian financial crisis in the equity markets of eight countries using dynamic conditional correlation (DCC).
J. H. Cho, Ali M. Parhizgari
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On the hedge and safe-haven abilities of bitcoin and gold against blue economy and green finance assets during global crises: Evidence from the DCC, ADCC and GO-GARCH models. [PDF]
PLoS ONEThis paper investigates the diversification, hedging, and safe-haven capabilities of Bitcoin and gold against blue economy and green finance assets using three different MGARCH models (DCC, ADCC, and GO-GARCH) during adverse events such as the COVID-19 ...
Yasmine Snene Manzli +4 more
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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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Application of futures in calculating optimal hedge ratio in crude oil market: Comparison between static and dynamic approaches [PDF]
مدلسازی اقتصادسنجی, 2020 Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio.
Simin Aleali +3 more
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Jurnal Aplikasi Bisnis dan Manajemen, 2023 The Covid-19 pandemic increased uncertainty in the Indonesian stock market. This paper aims to investigate foreign and domestic investors' behavior in the Indonesian stock market, especially during the Covid-19 pandemic.
Reffi Marizka Dewi +2 more
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On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
Mathematics, 2020 This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula ...
Jong-Min Kim, Seong-Tae Kim, Sangjin Kim
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SAGE Open, 2021 To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock ...
Fahim Afzal +4 more
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Analysis of Multivariate-GARCH via DCC Modelling [PDF]
Korean Journal of Applied Statistics, 2009 Conditional correlation between financial time series plays an important role in risk management, asset allocation and portfolio selection and therefore diverse efforts for modeling conditional correlations in multivariate-GARCH processes have been made in last two decades. In particular, CCC (cf.
S.M. Choi +5 more
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