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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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Green bonds & clean energy in sustainable finance: Evidence from DCC-GARCH connectedness

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K. Konstantakis, Pavlos Koulmas, P. Michaelides, Thomas Porcher, Arsenios‐Georgios N. Prelorentzos   +4 more
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Investigating volatility, connectedness and investment strategies between bulk shipping and Commodity Market: A DCC-GARCH R2 decomposed connectedness measure

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J. Mi, Shek Ahmed, Yanhui Chen, Congzhi Zhang   +3 more
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Cryptocurrency as a Hedging Alternative- DCC GARCH Model Analysis using R Programming

2022 5th International Conference on Contemporary Computing and Informatics (IC3I), 2022
Vikrant Vikram Singh, Harendra Singh, Aditya Kumar Gupta, Prashant Dev Yadav   +3 more
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Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach

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Pilar Gargallo, Jesus A MIGUEL, Manuel Salvador   +2 more
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ESG and sustainable development: Evidence from DCC-GARCH R2 decomposed connectedness measures

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Clean Energy Market Connectedness and Investment Strategies: New Evidence from DCC-GARCH R2 Decomposed Connectedness Measures

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The Impact of the Russia-Ukraine War and Grain Corridor Agreement on Commodity Markets: GARCH and DCC-GARCH Analysis Rusya-Ukrayna Savaşı ve Tahıl Koridoru Anlaşmasının Emtia Piyasalarına Etkisi: GARCH ve DCC-GARCH Analizi

Purpose: In today's world, tensions and conflicts in international relations can have profound effects on the global economy. The COVID-19 pandemic that began in 2020 and the subsequent Russia-Ukraine war have particularly led to adverse impacts on a global scale, especially through commodity markets.
Özdurak, Caner, Güç, Ömer, Eşlik, Asuman   +2 more
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Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach

Resources Policy, 2020
Yufeng Chen, Biao Zheng, Fang Qu
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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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