Results 91 to 100 of about 881 (181)

Stock Market Integration: DCC MV-GARCH Model [PDF]

Politická ekonomie, 2010
Eduard Baumöhl, Mária Farkašovská, Tomáš Výrost   +2 more
openaire   +1 more source

Volatility Spillovers and Market Integration in South Africa’s Fresh Produce Markets

Commodities
Price volatility in the South African fresh produce market poses significant risks to the entire value chain. This study examines the extent of price volatility and spillover effects in these markets to improve price risk management and enhance market ...
David Kalima, Mariëtte Geyser, Andrea Saayman   +2 more
doaj   +1 more source

The effect of COVID-19 and U.S. monetary policy on Bitcoin and stock market volatility: an application of DCC-GARCH model

Humanities & Social Sciences Communications
During 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   +1 more source

Multivariate DCC-GARCH Model: -With Various Error Distributions

, 2009
In this thesis we have studied the DCC-GARCH model with Gaussian, Student's $t$ and skew Student's t-distributed errors. For a basic understanding of the GARCH model, the univariate GARCH and multivariate GARCH models in general were discussed before the DCC-GARCH model was considered.
openaire   +1 more source

Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]

PLoS One, 2023
Danila N.
europepmc   +1 more source

New approaches of the DCC-GARCH residual: Application to foreign exchange rates

26 pages, 18 ...
Shiraya, Kenichiro, Suzuki, Kanji, Yamakami, Tomohisa   +2 more
openaire   +2 more sources

Dynamic Volatility Spillovers: An Empirical Study of India’s Stock Market and Its Key FDI Investor Nations

NMIMS Management Review
This research empirically investigates the characteristics and dynamics of the transmission of volatility between India’s stock markets and the countries that provide the majority of its foreign direct investment (FDI), specifically Mauritius, Singapore,
Ruchika Kaura
doaj   +1 more source

Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach

Revista Brasileira de Finanças, 2012
In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the daily returns conditional covariance matrix.
Marcelo Brutti Righi, Paulo Sergio Ceretta   +1 more
openaire   +1 more source

Hedging strategies among financial markets: the case of green and brown assets. [PDF]

Empir Econ, 2023
Raheem ID, Akinkugbe O, Yusuf AH, Asl MG.   +3 more
europepmc   +1 more source