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
core
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
core
Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. [PDF]
Comput Econ, 2022 Afuecheta E +3 more
europepmc +1 more source
Identifying the Signs of Currency Speculation in Hong Kong's Linked exchange Rate [PDF]
This paper identifies the ex ante factors of currency speculation based on the experience of Hong Kong’s three episodes in 1988, 1998 and 2007. The dynamic conditional correlation models are used to study the inter-temporal interactions among the Hang ...
Li, Kui-Wai
core +1 more source
Comparison of Value at Risk (VaR) Multivariate Forecast Models. [PDF]
Comput Econ, 2022 Müller FM, Righi MB, Righi MB.
europepmc +1 more source
Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia [PDF]
This paper examines the dynamic linkages among financial markets in Thailand and Indonesia. In particular, we focus on the cross-border relationship in individual markets and on the relationship between finan- cial markets within each country.
Kuper, Gerard H., Lestano
core +1 more source
Nvidia and Bitcoin Linkage Study—Based on DCC-GARCH Model
Financial Engineering and Risk Management, 2023 openaire +1 more source
Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]
Entropy (Basel)Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
europepmc +1 more source
Multivariate models of commodity futures markets: a dynamic copula approach. [PDF]
Empir Econ, 2023 Chen S, Li Q, Wang Q, Zhang YY.
europepmc +1 more source
Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
europepmc +1 more source