Results 21 to 30 of about 6,666 (205)
A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk [PDF]
Panoeconomicus, 2023 This study aims to analyze the volatility spillover between bond and commodity markets in terms of global liquidity risk. The data covers the daily closing prices of bond markets in specified countries - Brazil, Russia, India, China, and Turkey - and ...
Kirkpinar Ayşegül +1 more
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The Journal of Indonesia Sustainable Development Planning, 2022 The correlation between the capital market of G20 member countries is important to analyze. Depending on a country’s economy, capital market integration may have different effects. A more intense bilateral relationship (trade intensity) can significantly
Rahma Tri Benita
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Frontiers in Energy Research, 2023 With a high proportion of photovoltaic (PV) connected to the active distribution network (ADN), the correlation and uncertainty of the PV output will significantly affect the grid dispatching operation.
Xin Ma, Han Wu, Yue Yuan
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On the linkages between stock prices and exchange rates: evidence from the banking crisis of 2007-2010 [PDF]
, 2013 This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010 ...
Caporale, GM, Hunter, J, Menla Ali, F
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Entrepreneurial Business and Economics Review, 2020 Objective: The objective of this article is to study the correlations between the most important European insurers and their participation in systemic risk in the insurance sector. We compare systemic risk in different market regimes.
Anna Denkowska, Stanisław Wanat
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Sensitivity Analysis of Two-Step Multinomial Backtests for Evaluating Value-at-Risk [PDF]
تحقیقات مالی, 2022 Objective: Nowadays, the measurement of the risk of the marketplace has a significant effect on investments; however, the inadequate evaluation of this risk will cause a financial crisis and possible bankruptcy.
Mohamad Ali Rastegar, Mehdi Hemati
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Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms [PDF]
Journal of Forecasting, 2020 AbstractThis study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y lmaz (Journal of Econometrics, 2014, 182(1), 119–134)
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VOLATILITY SPILLOVER BETWEEN BIST 30 FUTURES AND SPOT MARKETS: A DCC-GARCH ANALYSES
Yönetim Bilimleri Dergisi, 2022 In terms of investors, it is essential to be aware of the flow of information across markets and build up investment policies in line with this information. The volatility spillover relationships between futures and spot markets contain important information in the context of optimal portfolio composing. In this study, the relevant relationship between
Esen KARA, Adem ANBAR, Özer ARABACI
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DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations [PDF]
International Journal of Forecasting, 2023 This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances and correlations of daily returns based on measures of realized variances and correlations built from intraday data. Formulas for multi-step forecasts of conditional variances and correlations are provided. Asymmetric versions of the models are developed.
Luc Bauwens, Yongdeng Xu
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Entropy, 2015 In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation.
Yingchao Zou, Lean Yu, Kaijian He
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