Results 121 to 130 of about 54,114 (238)

Unraveling Alzheimer's disease: Investigating dynamic functional connectivity in the default mode network through DCC-GARCH modeling

Aperture Neuro
Alzheimer'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, Jason Webster, Thomas Grabowski, Hesamoddin Jahanian, Ali Shojaie   +4 more
doaj   +1 more source

Currency Hedging Strategies Using Dynamic Multivariate GARCH [PDF]

This paper examines the effect on the effectiveness of using futures contracts as hedging instruments of: 1) the model of volatility used to estimate conditional variances and covariances, 2) the analyzed currency, and 3) the maturity of the futures ...
Juan-Ángel Jiménez-Martín, Lydia González-Serrano, Chia-Lin Chang   +2 more
core  

Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange

In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility.
Yilmaz, Tolgahan
core  

Volatility Spillovers and Market Integration in South Africa’s Fresh Produce Markets

Commodities
Price 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, Mariëtte Geyser, Andrea Saayman   +2 more
doaj   +1 more source

Time-varying covariance structures A DCC-GARCH approach to testing the CAPM

, 2023
This master's thesis examines the implications of applyingtime-varying covariance structures betweenfour majorasset classes in the US economy within the framework of the conditional Capital Asset Pricing Model (CAPM). The DCC-GARCH-in-mean modelis employed to estimate the time-varying covariance structures.
Draget, Julian Alexander, Eggen, Øystein Olsen   +1 more
openaire   +1 more source

Cross-city hedging with weather derivatives using bivariate DCC GARCH models [PDF]

As monopolies gave their way to competitive wholesale electricity markets, volumetric risk came into play. Electricity supplier can buy weather derivatives to protect from volumetric risk due to unexpected weather conditions.
Kosater, Peter
core  

Comparative Analysis of Cryptocurrency Market Efficiency and Local Features Using MF-DFA and DCC-GARCH

Fractal and Fractional
This study investigates time-varying market efficiency and cross-market correlations in cryptocurrency markets across South Korea, the United States, and Japan.
Do-Hyeon Kim, Jun-Hyeok Lee, Sun-Yong Choi   +2 more
doaj   +1 more source

New approaches of the DCC-GARCH residual: Application to foreign exchange rates

26 pages, 18 ...
Shiraya, Kenichiro, Suzuki, Kanji, Yamakami, Tomohisa   +2 more
openaire   +2 more sources

Reevaluate the DCC-GARCH and DCC-CARR model hedging performance

, 2010
碩士本文以美國、德國、日本等國之股價指數與指數期貨為主要研究對象，美國史坦普500股價指數、德國法蘭克福指數、日本日經225指數研究期間取自1991年1月1日至2009年12月31日止，美國道瓊工業指數研究期間取自1998年1月1日至2009年12月31日止。運用不同避險績效的衡量方法，包括變異數(Variance) 、效用函數(Utility function)、半變異數(semi-variance)、低度動差(LPM)、條件風險值(CVaR)等來估計OLS、CCC-GARCH、DCC-GARCH ...
黃薇之; Huang, Wei-chih
core  

Spillover of volatility among financial instruments: ASEAN-5 and GCC market study. [PDF]

PLoS One, 2023
Danila N.
europepmc   +1 more source