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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Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil 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).
Roengchai Tansuchat +2 more
core
On the Forecasting Accuracy of Multivariate GARCH Models [PDF]
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems.
Jeroen V.K. Rombouts +2 more
core +2 more sources
Modelos multivariados de volatilidade: uma aplicação em seleção e otimização de carteiras [PDF]
, 2013 Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2013.Considerando que os ativos financeiros têm como característica a variância heterocedástica e ainda, que ...
Camara, Eduardo Amendola
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Hedging strategies among financial markets: the case of green and brown assets. [PDF]
Empir Econ, 2023 Raheem ID +3 more
europepmc +1 more source
The ripple effects of CBDC-related news on Bitcoin returns: Insights from the DCC-GARCH model
Research In International Business and Finance, 2023 Isik Akin +4 more
semanticscholar +1 more source
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
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.
Margherita Grasso +3 more
core
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
Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies. [PDF]
Empir Econ, 2023 Cheng J.
europepmc +1 more source