DCC-GARCH modeller med ulike avhengighetsstrukturer
, 2013 Hovedfokuset i denne oppgaven er å finne gode metoder for modellering av volatilitet og avhengighetsstruktur i finansielle porteføljer. En spesifikk multivariat GARCH modell, Dynamic Conditional Correlation (DCC-) GARCH, kombineres med copulaer og par-copula-konstruksjoner for å få en mer fleksibel modell til å modellere nettopp dette.
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Examination of Dynamic Correlation between Major Assets in Iran by DCC-GARCH Approach [PDF]
پژوهشهای اقتصادی, 2015 This study investigates the time-varying correlations among oil and coin prices, and exchange rate in Iran. Since investment is a key factor in economic growth and development, so the necessary funds should be provided and directed towards manufacturing ...
Shadi Amiri +3 more
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Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis [PDF]
Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional correlations processes, although with the drawback, when the number of financial returns series considered increases, that the parameterizations entail
Rossi, Eduardo, Spazzini, Filippo
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Consistent ranking of multivariate volatility models [PDF]
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out-of-sample conditional ...
LAURENT, Sebastien +2 more
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Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets [PDF]
This paper investigates dynamic interdependence, price and volatility transmissions and financial integration between Turkey and major equity markets in EU and USA.
Huseyin Tastan
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Volatility Spillovers and Market Integration in South Africa’s Fresh Produce Markets
CommoditiesPrice 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 +2 more
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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 +1 more
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Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model. [PDF]
This paper presents a new multivariate GARCH model with time-varying conditional correlation structure which is a generalization of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006).
Philippe Charlot, Vêlayoudom Marimoutou
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Correlation dynamics between Asia-Pacific, EU and US stock returns [PDF]
This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, Engle and Sheppard (2006).
Bredin, Don P +2 more
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Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns [PDF]
This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models.
Alessandro Lanza +2 more
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