Results 11 to 20 of about 54,114 (238)
Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches [PDF]
Emerging Science JournalThis research paper presents a comprehensive analysis of three prominent volatility and dependence models for financial time series: ARMA-GARCH, GARCH-EVT, and DCC-GARCH.
Thitivadee Chaiyawat +1 more
semanticscholar +4 more sources
Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
doaj +3 more sources
Financial Technology and ESG market: A Wavelet-DCC GARCH approach [PDF]
Research in International Business and Financeتبحث هذه الورقة في الحركة المشتركة بين أسواق التكنولوجيا المالية والحوكمة البيئية والاجتماعية والحوكمة من منظور مجال التكرار الزمني. نحن نستخدم نهجًا اقترحه فاشا وبارونيك (2012) ونشمل تحليل تماسك الموجات الصغيرة والارتباط الشرطي الديناميكي من نموذج GARCH متعدد المتغيرات (DCC GARCH). نجد علاقة إيجابية كبيرة ثنائية الاتجاه بين مؤشرات FinTech و ESG.
Babak Naysary, Keshab Shrestha
semanticscholar +4 more sources
Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms [PDF]
Journal of Forecasting, 2020 This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models.
David Gabauer
semanticscholar +4 more sources
East Asian Financial Contagion under DCC-Garch
The International Journal of Banking and Finance, 2009 We consider the definition and measurement of contagion by analysing the 1997 East Asian financial crisis in the equity markets of eight countries using dynamic conditional correlation (DCC).
J. H. Cho, Ali M. Parhizgari
doaj +3 more sources
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 +2 more sources
DCC-GARCH modeller med ulike avhengighetsstrukturer [PDF]
, 2013 Hovedfokuset i denne oppgaven er å finne gode metoder for modellering av volatilitet og avhengighetsstruktur i finansielle porteføljer. En spesifikk multivariat GARCH modell, Dynamic Conditional Correlation (DCC-) GARCH, kombineres med copulaer og par-copula-konstruksjoner for å få en mer fleksibel modell til å modellere nettopp dette.
Aardal, Helene
openaire +2 more sources
Using Multivariate Dynamic Conditional Correlation GARCH model to analysis financial market data [PDF]
Maǧallaẗ Al-Buḥūṯ Al-Tiǧāriyyaẗ, 2023 In financial markets, understanding the dynamic relationships between assets is crucial for effective portfolio management. This study highlights the importance of using the DCC-GARCH (Dynamic Conditional Correlation - Generalized Autoregressive ...
Fatma Alshenawy, Doaa A. Abdo
doaj +1 more source
Are GARCH and DCC Values of 10 Cryptocurrencies Affected by COVID-19? [PDF]
Journal of Risk and Financial Management, 2022 This paper examines the dynamic conditional correlations among 10 cryptocurrencies and the possibility of hedging investment strategies among multiple cryptocurrencies over the period affected by COVID-19 from 2017 to 2022. After studying the relationship between Bitcoin, Ethereum, and the other eight cryptocurrencies, four main results were obtained ...
Kejia Yan, Huqin Yan, Rakesh Gupta
openaire +3 more sources
Application of futures in calculating optimal hedge ratio in crude oil market: Comparison between static and dynamic approaches [PDF]
مدلسازی اقتصادسنجی, 2020 Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio.
Simin Aleali +3 more
doaj +1 more source