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The more contagion effect on emerging markets: The evidence of DCC-GARCH model
Economic Modelling, 2012Abstract The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during U.S. subprime crisis for most of the developed and emerging countries.
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A class of DCC asymmetric GARCH models driven by exogenous variables [PDF]
, 2010 This paper considers Dynamic Conditional Correlations (DCC) GARCH models in which the time-varying coefficients, including the conditional correlation matrix, are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary.
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Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach
Mathematics, 2021Manuel Salvador +2 more
exaly
Cryptocurrency as a Hedging Alternative- DCC GARCH Model Analysis using R Programming
2022 5th International Conference on Contemporary Computing and Informatics (IC3I), 2022Vikrant Vikram Singh +3 more
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Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models
Energies, 2022Abdulkareem Alhassan +2 more
exaly
Purpose: In today's world, tensions and conflicts in international relations can have profound effects on the global economy. The COVID-19 pandemic that began in 2020 and the subsequent Russia-Ukraine war have particularly led to adverse impacts on a global scale, especially through commodity markets.
Özdurak, Caner +2 more
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Özdurak, Caner +2 more
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Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework
Mathematics, 2021Danish Mir Sayed Shāh +2 more
exaly