Results 171 to 180 of about 881 (181)

European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 – a comparative DCC-GARCH and wavelet correlation analysis

Applied Economics Letters, 2012
Alenka Kavkler, Mejra Festic
exaly  

The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses

Energy, 2019
Cheng Jiang, Bin Mo, He Nie
exaly  

The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

Economics Letters, 2013
Eric Olson, Paul M Jones
exaly  

Multivariate GARCH Modeling of Sector Volatility Transmission: A DCC Model Approach

SSRN Electronic Journal, 2011
Marcelo Brutti Righi, Paulo Sergio Ceretta   +1 more
openaire   +1 more source

Stock Portfolio Optimization Based on Nonlinear Prediction and DCC-GARCH Model

IEICE Proceeding Series, 2014
Satoshi, Inose, Tomoya, Suzuki, Kazuo, Yamanaka   +2 more
openaire   +1 more source

An empirical examination of correlation dynamics between commodity and equity derivative indices: evidence from India using DCC-GARCH models

Afro-Asian Journal of Finance and Accounting, 2020
exaly  

A GARCH-Volatility dependent DCC model

2010
openaire   +4 more sources

Modeling structure of inflation in Türkiye: DCC-GARCH and Markov switching model

Journal of Financial Economic Policy
Evan Lau, Erginbay Ugurlu, Mortaza Ojaghlou   +2 more
exaly  

Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach

International Journal of Computational Economics and Econometrics
Chiraz Lakhal, Imen Zorgati
openaire   +1 more source

Volatility Impulse Responses for DCC-GARCH: The Role of Volatility Transmission Mechanisms

SSRN Electronic Journal, 2018
openaire   +1 more source