Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
europepmc +1 more source
Systemic risk spillover between the stock market and banking deposits: Evidence from a sustainability perspective in the South Asian countries. [PDF]
PLoS OneLiu L +5 more
europepmc +1 more source
AI-Carbon-Energy: Spillover effects and drivers in interconnected markets. [PDF]
iScienceZhang M, Pan Y, Su B, Zhou D.
europepmc +1 more source
High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. [PDF]
PLoS OneKuang W.
europepmc +1 more source
Robust Inference of Dynamic Covariance Using Wishart Processes and Sequential Monte Carlo. [PDF]
Entropy (Basel)Huijsdens H +3 more
europepmc +1 more source
The Connectional Diaschisis and Normalization of Cortical Language Network Dynamics After Basal Ganglia and Thalamus Stroke. [PDF]
Neurobiol Lang (Camb)Chen Q +18 more
europepmc +1 more source
An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects.
Vargas, Gregorio A.
core
Exploring the potential of the carbon credit program for hedging energy prices in Brazil. [PDF]
Environ Sci Pollut Res IntPalazzi RB +3 more
europepmc +1 more source
Stock Market Integration: DCC MV-GARCH Model
In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark.
Mária Farkašovská +2 more
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