Results 201 to 210 of about 54,114 (238)

DCC-GARCH Modeli Yardımıyla İslami Bankalar Arasındaki Etkileşimin Belirlenmesi

Gaziantep University Journal of Social Sciences, 2023
Son yıllarda İslam ekonomilerindeki büyüme ve finansal sistemin gelişimiyle birlikte İslami bankaların finansal piyasalar üzerindeki etkileri artmıştır. İslami bankalar arasındaki finansal etkileşimlerin etkisini araştırmak, finansal istikrar açısından önemlidir.
Faruk TAŞKIRAN, Semra TASPUNAR ALTUNTAŞ   +1 more
openaire   +2 more sources

Analysis of Financial Contagion and Prediction of Dynamic Correlations During the COVID-19 Pandemic: A Combined DCC-GARCH and Deep Learning Approach

Journal of Risk and Financial Management
This study aims to combine the use of dynamic conditional correlation multiple generalized autoregressive conditional heteroskedasticity (DCC-GARCH) models and deep learning techniques in analyzing the dynamic correlation between stock markets. First, we
Víctor Chung, Jenny Espinoza, Alan Mansilla   +2 more
semanticscholar   +1 more source

DCC-GARCH Approach for Detecting Dynamic Relation among Selected Green Indices of Indian Stock Market

Journal of Asian Energy Studies
This research analyses the dynamic spillover effects of indices tracking green, energy, carbon, and sustainability sector equities to learn more about the interconnectedness of green finance.
Archna Chaudhry
semanticscholar   +1 more source

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

Interconnectedness and Spillover Effects amongst Stock Markets of the US, China, Germany, Japan and India using DCC-GARCH Model and Diebold Yilmaz Method

Colombo Business Journal
In a rapidly globalising world, economic boundaries are dissolving as stakeholders seek broader opportunities. Corporations are now multinational, and investors are increasingly turning to global stock markets to maximise gains.
Archana Agarwal, Nidhi Dhankhar, Sunita Mehla   +2 more
semanticscholar   +1 more source

Research on dynamic behavior hedging of corn price risk based on the LA-DCC-GARCH model under COVID-19

International Journal of Financial Engineering
The ravages of COVID-19 have had a huge impact on the global economy, and in the grain market, grain prices have fluctuated greatly due to the impact of factors such as rising circulation costs and sudden panicky demand, which has increased the business ...
Sijie Li, Wenjing Guo, Min Zhu
semanticscholar   +1 more source

Corrected GARCH-DCC-MIDAS models in economics and finance

2023
The aim of this thesis is to investigate the dynamic correlation of cross-assets via multivariate GARCH frameworks, we further examine the recent crisis shock impact on these dynamic correlations. Moreover, our analysis discovers how macroeconomic factors in- uence the cross-assets connectedness and also connect to the corresponding crisis. This thesis
openaire   +1 more source

The more contagion effect on emerging markets: The evidence of DCC-GARCH model

Economic Modelling, 2012
Abstract The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during U.S. subprime crisis for most of the developed and emerging countries.
openaire   +2 more sources

New weather indices for China: based on DCC-GARCH and GRU models

International Journal of Services Technology and Management, 2021
Qing Zhu 0007, Jiarui Li, Renxian Zuo, Zheyu Guo   +3 more
openaire   +1 more source

Dynamic risk connectedness of crude oil price and sustainable investment in the United States: evidence from DCC-GARCH

Environmental science and pollution research international, 2023
Godwin O. Olasehinde-Williams, Oktay Özkan, S. Akadiri   +2 more
semanticscholar   +1 more source