Results 121 to 130 of about 6,675 (205)
Humanities & Social Sciences CommunicationsDuring 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
Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash [PDF]
, 2010 Pesaran, MH
core +1 more source
High and Low Frequency Correlations in Global Equity Markets [PDF]
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008.
José Gonzalo Rangel, Robert F. Engle
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Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]
PLoS One, 2023 Danila N.
europepmc +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
GFC-Robust Risk Management Strategies under the Basel Accord [PDF]
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models.
Juan-Ángel Jiménez-Martín +2 more
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Scanning Multivariate Conditional Densities with Probability Integral Transforms [PDF]
This paper introduces new ways to construct probability integral transforms of random vectors that complement the approach of Diebold, Hahn, and Tay (1999) for evaluating multivariate conditional density forecasts.
Isao Ishida
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A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation [PDF]
We propose a generalization of the Dynamic Conditional Correlation multivariate GARCH model of Engle (2002) and of the Asymmetric Dynamic Conditional Correlation model of Cappiello et al. (2006).
Massimiliano Caporin, Monica Billio
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Financial Contagion and the European Debt Crisis [PDF]
Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well.
Sebastian Missio, Sebastian Watzka
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