Results 31 to 40 of about 881 (181)
Variation de risque mondial, local et de change sur les marches boursiers
Academic Finance, 2022 Objectif : étudier l’importance des risques mondiaux, locaux et de change Méthode : MEDAFI et DCC-GARCH Résultats : le risque mondial, local et de change sont évalués et varient dans le temps.
Lamia SEBAI, siwar ELLOUZ
doaj
FINANCIAL INTEGRATION OF INDIAN AND DEVELOPED MARKETS: A DCC GARCH ANALYSIS
, 2022 Abstract The stock market is the main channel of financial integration for emerging economies like India. Globalization, deregulation of the market, capital account convertibility, and information and technology are the key factors contributing to the integration of the world markets.
Dr. ANURAG AGNIHOTRI, SHAGUNARORA
openaire +2 more sources
Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
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A New Implementation of Network GARCH Model for Stock Volatility and Co‐Volatility Forecasting
Journal of Forecasting, EarlyView.ABSTRACT Volatility clustering and spillovers are key features of financial time series with many cross‐sectional assets. While network analysis links similar or correlated stocks and helps trace volatility spillovers, contemporary multivariate ARCH‐GARCH formulations struggle to represent structured network dependence and remain parsimonious.
Peiyi Zhou
wiley +1 more source
A wavelet approach towards examining dynamic association, causality and spillovers [PDF]
International Journal of Data and Network Science, 2019 This paper presents an integrated granular framework of wavelet decomposition, DCC-GARCH, ADCC-GARCH, Diks-Panchenko nonlinear Granger’s causality and Diebold-Yilmaz spillover assessment techniques to understand temporal correlation, causal interplay and
Indranil Ghosh, Tamal Datta Chaudhuri
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Brexit and Its Impact on EU Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate the impact of Brexit on volatility spillovers across the EU countries. We introduce a Brexit intensity measure that assigns an intensity score reflective of the financial markets' reaction to the events that occurred as Brexit negotiations began to unfold.
Marwan Izzeldin +3 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho +3 more
wiley +1 more source
Establishing the nature of Bitcoin : A DCC-GARCH analysis
, 2022 Since its start in 2008 up until the date of this study, Bitcoin has steadily gained considerablyin popularity. However, the digital cryptocurrency still seems to be surrounded by asubstantial amount of mystery as to whether it deserves a spot in anyone's portfolio. Manystudies have tried to pin Bitcoin as a safe haven asset to the likes of gold due to
Ekstrand, Amanda, Musial, Mateusz
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Algorithm of Assessing Dynamic Correlation between Time Series Connected by TVP-Regression Model
Вестник Российского экономического университета имени Г. В. ПлехановаThe present research proposes algorithm of assessing dynamic correlation of time series connected by TVP-regression model. Topicality of this task is stipulated by the fact that this model often describes asset behavior on finance markets, while modeling
N. A. Moiseev, G. V. Aivazian
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International Studies of Economics, EarlyView.Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley +1 more source