Results 141 to 150 of about 881 (181)

Risk and causality Co-movement of Malaysia's stock market with its emerging and OECD trading partners. Evidence from the wavelet approach.

PLoS One
Wang X, Guo H, Waris M, Din BH.
europepmc   +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]

Frontiers in Public Health, 2022
Tan Xiaoyu
exaly   +2 more sources

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Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study

2010
Modeling volatility and co-volatility of a few zero-coupon bonds is a fundamental element in the field of fix-income risk evaluation. Multivariate GARCH model (MGARCH), an extension of the well-known univariate GARCH, is one of the most useful tools in modeling the co-movement of multivariate time series with time-varying covariance matrix. Grounded on
Yiyu Huang, Wenjing Su, Xiang Li 0033
openaire   +1 more source

Efficient factor GARCH models and factor-DCC models

Quantitative Finance, 2009
We report that, in the estimation of univariate GARCH or multivariate generalized orthogonal GARCH (GO-GARCH) models, maximizing the likelihood is equivalent to making the standardized residuals as independent as possible. Based on this, we propose three factor GARCH models in the framework of GO-GARCH: independent-factor GARCH exploits factors that ...
Kun Zhang, Laiwan Chan
openaire   +1 more source

Linear time-varying regression with Copula–DCC–GARCH models for volatility

Economics Letters, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kim, Jong-Min, Jung, Hojin
openaire   +1 more source

DCC-GARCH Modeli Yardımıyla İslami Bankalar Arasındaki Etkileşimin Belirlenmesi

Gaziantep University Journal of Social Sciences, 2023
Son yıllarda İslam ekonomilerindeki büyüme ve finansal sistemin gelişimiyle birlikte İslami bankaların finansal piyasalar üzerindeki etkileri artmıştır. İslami bankalar arasındaki finansal etkileşimlerin etkisini araştırmak, finansal istikrar açısından önemlidir.
Faruk TAŞKIRAN, Semra TASPUNAR ALTUNTAŞ   +1 more
openaire   +2 more sources

Value-at-Risk with Application of DCC-GARCH Model

2016
The article concentrates on modelling of volatility of capital markets and estimation of Value-at-Risk. The aim of the article is the description of volatility and interdependencies among three indices: WIG (Poland), DAX (Germany) and DJIA (United States). In order to measure the volatility and strength of interdependencies DCC-GARCH-In model was used,
Meluzin, Tomas, Zinecker, Marek, Pietrzak, Michal Bernard, Faldzinski, Marcin, Balcerzak, Adam P.   +4 more
openaire   +1 more source

Corrected GARCH-DCC-MIDAS models in economics and finance

2023
The aim of this thesis is to investigate the dynamic correlation of cross-assets via multivariate GARCH frameworks, we further examine the recent crisis shock impact on these dynamic correlations. Moreover, our analysis discovers how macroeconomic factors in- uence the cross-assets connectedness and also connect to the corresponding crisis. This thesis
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New weather indices for China: based on DCC-GARCH and GRU models

International Journal of Services Technology and Management, 2021
Qing Zhu 0007, Jiarui Li, Renxian Zuo, Zheyu Guo   +3 more
openaire   +1 more source