Results 191 to 200 of about 6,666 (205)

Financial Contagion: Detecting Non-Simultaneous Breaks in DCC-GARCH Models

SSRN Electronic Journal
ABSTRACT This paper proposes a three‐step segmentation procedure (TSSP) for detecting non‐simultaneous structural breaks in return volatility and correlations within DCC–GARCH models, using the supremum Lagrange multiplier (SupLM) test to isolate multiple parameter shifts.
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Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach

International Review of Financial Analysis, 2022
Wenting Zhang, Xie He, Shigeyuki Hamori
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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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Cross-city hedging with weather derivatives using bivariate DCC GARCH models [PDF]

, 2006
As monopolies gave their way to competitive wholesale electricity markets, volumetric risk came into play. Electricity supplier can buy weather derivatives to protect from volumetric risk due to unexpected weather conditions. However, contracts can only be negotiated for weather variables measured at few selected locations. To hedge their specific risk,
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Gaza's Grip: DCC GARCH analysis of volatility and correlations

Pedro Angosto-Fernández, Victoria Ferrández-Serrano   +1 more
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Evropské realitní investiční trusty: Analýza korelace za použití DCC- GARCH modelu

2012
Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS.
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Linear time-varying regression with a DCC-GARCH model for volatility

Applied Economics, 2015
Jong-Min Kim, Hojin Jung, Li Qin
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Multivariate GARCH Modeling of Sector Volatility Transmission: A DCC Model Approach

SSRN Electronic Journal, 2011
Marcelo Brutti Righi, Paulo Sergio Ceretta   +1 more
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Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach

International Journal of Computational Economics and Econometrics
Chiraz Lakhal, Imen Zorgati
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Dynamic Conditional Correlation: an Application of DCC GARCH model

2016
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