Results 21 to 30 of about 54,114 (238)
Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach [PDF]
Economies, 2021 This research investigated the performance of a dynamic portfolio that consists of sustainable/ethical stocks and gold. The main purpose of this study is to prove that the inclusion of gold in sustainable/ethical stocks portfolios could produce better performance.
Robiyanto Robiyanto +4 more
openaire +3 more sources
Jurnal Aplikasi Bisnis dan Manajemen, 2023 The Covid-19 pandemic increased uncertainty in the Indonesian stock market. This paper aims to investigate foreign and domestic investors' behavior in the Indonesian stock market, especially during the Covid-19 pandemic.
Reffi Marizka Dewi +2 more
doaj +1 more source
On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
Mathematics, 2020 This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula ...
Jong-Min Kim, Seong-Tae Kim, Sangjin Kim
doaj +1 more source
SAGE Open, 2021 To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock ...
Fahim Afzal +4 more
doaj +1 more source
Dynamic relationships among green bonds, CO2 emissions, and oil prices
Frontiers in Environmental Science, 2022 Green bonds play a pivotal role in the financing of sustainable infrastructure systems. Likewise, CO2 emissions and oil prices can cause an impact on the green bonds market.
Nini Johana Marín-Rodríguez +2 more
doaj +1 more source
International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
doaj +1 more source
برآورد ریسک سیستمی نظام بانکی با استفاده از سنجه های MES و CoVaR [PDF]
راهبرد مدیریت مالی, 2020 هدف این مقاله برآورد ریسک سیستمی نظام بانکی کشور، ارزیابی تأثیر بحران بانکی بر کل اقتصاد و استخراج سهم نظام بانکی در ریسک سیستمی با استفاده از سنجه های مختلف در قالب یک تحلیل مقایسهای است.
عبدالرضا شاکری +2 more
doaj +1 more source
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
openaire +2 more sources
Risks, 2020 In the present work, we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis, we assume that the stock quotations of insurance companies reflect market sentiments, which ...
Anna Denkowska, Stanisław Wanat
doaj +1 more source