Results 1 to 10 of about 881 (181)
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
The Journal of Indonesia Sustainable Development Planning, 2022 The correlation between the capital market of G20 member countries is important to analyze. Depending on a country’s economy, capital market integration may have different effects. A more intense bilateral relationship (trade intensity) can significantly
Rahma Tri Benita
doaj +1 more source
Frontiers in Energy Research, 2023 With a high proportion of photovoltaic (PV) connected to the active distribution network (ADN), the correlation and uncertainty of the PV output will significantly affect the grid dispatching operation.
Xin Ma, Han Wu, Yue Yuan
doaj +1 more source
Bitcoin ile Vadeli İşlemler Piyasası Arasındaki İlişkinin Analizi
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2022 Çalışmanın temel amacı bitcoin ile BIST30 vadeli, altın vadeli ve döviz vadeli işlemler piyasası arasındaki volatilite etkileşimini araştırmaktır. Bu doğrultuda 25.07.2010 – 13.02.2022 dönemine ait haftalık veriler kullanılmıştır.
Ethem Kılıç
doaj +1 more source
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
doaj +1 more source
Entrepreneurial Business and Economics Review, 2020 Objective: The objective of this article is to study the correlations between the most important European insurers and their participation in systemic risk in the insurance sector. We compare systemic risk in different market regimes.
Anna Denkowska, Stanisław Wanat
doaj +1 more source
BayesDccGarch - An Implementation of Multivariate GARCH DCC Models
, 2014 Multivariate GARCH models are important tools to describe the dynamics of multivariate times series of financial returns. Nevertheless, these models have been much less used in practice due to the lack of reliable software. This paper describes the {\tt R} package {\bf BayesDccGarch} which was developed to implement recently proposed inference ...
Fioruci, Jose A. +2 more
openaire +2 more sources
Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms [PDF]
Journal of Forecasting, 2020 AbstractThis study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y lmaz (Journal of Econometrics, 2014, 182(1), 119–134)
openaire +3 more sources
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
Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source