Results 181 to 190 of about 6,666 (205)

Nexus of crude oil and clean energy stock indices: Evidence from time-vector-auto-regression in conjunction with conditional-autoregressive-value-at-risk. [PDF]

Heliyon
Trabelsi N, Tiwari AK, Ghallabi F, Khemakhem I.   +3 more
europepmc   +1 more source

Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001) [PDF]

Anna Pajor, Jacek Osiewalski, Mateusz Pipien   +2 more
core  

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

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Volatilidad dinámica en el sector bancario en México: evidencia DCC-GARCH vs Cópula-GARCH

EconoQuantum, 2023
Objetivo: Analizar la volatilidad dinámica entre principales bancos situados en México.Metodología: se emplean dos metodologías alternas: i) DCCGARCH y ii) Cópula-GARCH con ventanas móviles. Se utilizan los precios accionarios semanales de cierre de cuatro bancos en México: BBVA, Citi-Banamex, Banorte e Inbursa del 27 de enero de 2009 al 29 de octubre ...
Christian Bucio-Pacheco, Miriam Sosa-Castro, Francisco Reyes-Zarate   +2 more
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
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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
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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
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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