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
exaly +5 more sources
Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model [PDF]
Resources Policy, 2022 It is frequently discussed in the literature that the correlation between low-correlation assets under ordinary market conditions may increase during crisis periods.
Durmus Çagri Yildirim +2 more
exaly +3 more sources
Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. [PDF]
Financ Innov, 2022 This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns, namely Bitcoin, Ethereum, Stellar, Ripple, Tether, Cardano, Litecoin, and Eos from November 17, 2019, to January 25 ...
Özdemir O.
europepmc +2 more sources
An empirical investigation of investor sentiment and volatility of realty sector market in India: an application of the DCC-GARCH model. [PDF]
SN Bus Econ, 2023 Understanding how an irrational investors’ sentiment affects the realty market returns, especially during the pandemic, is imperative to take any financial decisions. The effect of investor sentiment on the movement of the realty market leading to market
Pillada N, Rangasamy S.
europepmc +2 more sources
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 This research examines the impact of the coronavirus index on the returns and volatility of ten major cryptocurrencies during the COVID-19 pandemic. For this purpose, we applied a multivariate volatility GARCH model with an integrated dynamic conditional
Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +2 more sources
The impact of crude oil prices on Chinese stock markets and selected sectors: evidence from the VAR-DCC-GARCH model. [PDF]
Environ Sci Pollut Res Int, 2022 The interaction between oil and stock market returns is one of the most important relationships that have a significant influence on the economy of any country all over the world.
Hashmi SM, Ahmed F, Alhayki Z, Syed AA.
europepmc +2 more sources
The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model [PDF]
Asia-Pacific Financial Markets, 2022 This study investigates the dynamic volatility connectivity of important environmental, social, and governance (ESG) stock indexes from May 2010 to March 2021.
Shaik M, Rehman M.
europepmc +2 more sources
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
doaj +2 more sources
Humanities & Social Sciences CommunicationsDuring the COVID-19 pandemic and subsequent periods of US monetary policy normalization after quantitative easing during COVID-19, global financial markets have encountered elevated levels of volatility and risk.
Kamphol Panyagometh
doaj +2 more sources