Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. [PDF]
Financ Innov, 2022 Özdemir O.
europepmc +1 more source
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants [PDF]
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance.
Alessandro Lanza +3 more
core
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 Hashmi SM, Ahmed F, Alhayki Z, Syed AA.
europepmc +1 more source
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 +1 more
openaire +2 more sources
A general multivariate threshold GARCH model with dynamic conditional correlations [PDF]
We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilities and correlations.
Fabio Trojani, Francesco Audrino
core
Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models [PDF]
The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK ...
Caporin, M., McAleer, M.J.
core +4 more sources
Practical volatility and correlation modeling for financial market risk management [PDF]
, 2005 What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics.
Andersen, Torben G. +3 more
core +2 more sources
Corrected GARCH-DCC-MIDAS models in economics and finance
, 2023 This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London The aim of this thesis is to investigate the dynamic correlation of cross-assets via multivariate GARCH frameworks, we further examine the recent crisis shock impact on these dynamic correlations.
openaire +1 more source
"Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets" [PDF]
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to aid in risk ...
Chia-Lin Chang +2 more
core
Aperture NeuroAlzheimer's disease (AD) has a prolonged latent phase. Sensitive biomarkers of amyloid beta ($A\beta$), in the absence of clinical symptoms, offer opportunities for early detection and identification of patients at risk. Current $A\beta$ biomarkers, such
Kun Yue +4 more
doaj +1 more source