Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models. [PDF]
SN Bus Econ, 2022 Sajeev KC, Afjal M.
europepmc +1 more source
Financial Engineering and Risk Management: Using daily data from September 26, 2007 to July 13, 2023, this paper uses DCC-GARCH model and generalized variance decomposition network model to analyze the systemic risk spillover effects of fintech on banking, securities and insurance industries ...
Yijiao Fan
semanticscholar +1 more source
COVID-19 Shock and the Time-Varying Volatility Spillovers Among the Energy and Precious Metals Markets: Evidence From A DCC-GARCH-CONNECTEDNESS Approach. [PDF]
Front Public Health, 2022 Tan X +5 more
europepmc +1 more source
Borsa Istanbul Review, 2019 We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh +2 more
doaj +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 ...
Roengchai Tansuchat +2 more
core +2 more sources
Portfolio Optimization : A DCC-GARCH forecast with implied volatility
, 2019 This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1.1) process and an external ...
Bigdeli, Sam, Bengtsson, Filip
openaire +1 more source
Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets [PDF]
Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR).
Chang, C., McAleer, M.J., Tansuchat, R.
core +3 more sources
DCC-Garch Models Using Islamic Market and European Market Indices
Islamic Banking and Finance Review, 2017 The last financial crisis (2007-2008) raises the question of how European stock shocks are distributed and transmitted from developed stock markets to Islamic stock markets. More precisely, the problem related to Islamic finance or any other alternative finance is, whether the shocks to the volatilities in the asset returns constitute substitute or ...
openaire +1 more source
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
doaj
Stock Market Integration: DCC MV-GARCH Model [PDF]
Politická ekonomie, 2010 Eduard Baumöhl +2 more
openaire +1 more source