Results 91 to 100 of about 54,114 (238)

Uma cadeia produtiva mais integrada? A utilização do hedge dinâmico na oscilação dos preços diários da cadeia produtiva da carne suína

Revista de Economia e Sociologia Rural, 2019
Resumo Trabalhos recentes têm mostrado uma falta de integração entre o mercado do produtor e o varejo na cadeia produtiva da carne suína. Uma solução para amenizar esse entrave poderia ser feito por meio da estratégia de hedge dinâmico com o modelo Garch-
Jovani Patias, Sergio Guilherme Schlender, Claudio Edilberto Höfler, Marco Antonio da Costa Malheiros, Leoni Pentiado Godoy   +4 more
doaj   +1 more source

Informational Efficiency in Cryptocurrency Markets: A Bibliometric and Thematic Literature Review (2015–2024)

Journal of Economic Surveys, Volume 40, Issue 1, Page 443-468, February 2026.
ABSTRACT Cryptocurrency markets are known for their wide price fluctuations, lack of central control, and fast‐paced development. These characteristics present serious challenges to traditional theories about how markets work and how prices reflect available information.
Giulia Fantini, Joy Jia, Chiara Oldani
wiley   +1 more source

Maximum likelihood estimates of DCC-GARCH models.

, 2022
Maximum likelihood estimates of DCC-GARCH models.
Farman Ullah Khan (9279383), Muhammad Nouman (7576793), Maria Hashim (13155183), Vanina Adoriana Trifan (13155186), Adina Eleonora Spinu (13155189), Muhammad Fahad Siddiqi (13155192)   +5 more
core   +1 more source

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models [PDF]

Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC.
Michael McAleer, Massimiliano Caporin
core   +2 more sources

Optimal Operation and Photovoltaic Consumption Assessment of Active Distribution System Considering Photovoltaic Output Dynamic Correlation

IET Renewable Power Generation, Volume 20, Issue 1, January/December 2026.
This study proposes an optimal operation framework for active distribution networks that explicitly captures dynamic PV correlation using a SARIMA‐DCC‐GARCH model. By integrating affine power flow analysis with flexible resource scheduling, the method effectively maximises photovoltaic consumption and minimises operational costs while ensuring voltage ...
Junpeng Zhu, Xueqi Hu, Jingtao Zhao, Tian Gao, Wei Huang, Qirun Sun, Yue Yuan   +6 more
wiley   +1 more source

Co-movement of Bitcoin, gold, USD, oil and VIX: Evidence of Wavelet Coherence and DCC-GARCH from the pandemic period

Serbian Journal of Management
This study examines the relations of Bitcoin (BTC) prices and fluctuations with gold, USD, oil, VIX index, hedging, and diversification features in Turkiye.
Bilgehan Tekin, Fatma Temelli, S. Dirir
semanticscholar   +1 more source

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH [PDF]

DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances.
Michael McAleer, Massimiliano Caporin
core   +6 more sources

Modelación y co-movimientos de la tasa de cambio colombiana, 2011-2017 || Modeling and comovements of the Colombian exchange rate, 2011-2017

Revista de Métodos Cuantitativos para la Economía y la Empresa, 2019
La tasa de cambio está influenciada por múltiples factores macroeconómicos nacionales e internacionales, lo que genera altos niveles de incertidumbre.
Maya Sierra, Giuliana, Marín Rodríguez, Nini Johana   +1 more
doaj  

Price and Volatility Transmission From International to Domestic Food and Fertilizer Markets in Central America

Agricultural Economics, Volume 57, Issue 1, January 2026.
ABSTRACT Recent global shocks have triggered sharp spikes in international food and fertilizer prices, raising concerns about their domestic impacts. This study examines the extent to which international price levels and volatility are transmitted to domestic food and fertilizer markets in seven Central American countries.
Manuel A. Hernandez, Francisco Ceballos, Maria Lucia Berrospi, Viviana M. E. Perego, Melissa Brown, Elena Mora Lopez   +5 more
wiley   +1 more source

The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances’ Equations

Przegląd Statystyczny, 2015
The article seeks to investigate the issue of interdependence that during crisis periods in the capital markets is of particular importance due to the likelihood of causing a crisis in the real economy. The research objective of the article is to identify this interdependence in volatility.
Faldzinski, Marcin, Pietrzak, Michal Bernard   +1 more
openaire   +2 more sources