Results 41 to 50 of about 6,675 (205)
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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Emerging Science JournalThis research paper presents a comprehensive analysis of three prominent volatility and dependence models for financial time series: ARMA-GARCH, GARCH-EVT, and DCC-GARCH. These models are employed to assess and forecast capital requirements for life and non-life insurer investments.
Thitivadee Chaiyawat +1 more
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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
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Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods
Media Ekonomi dan ManajemenThis study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional ...
Dismas Oktavianto +2 more
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Jurnal Ekonomi Bisnis dan Kewirausahaan (JEBIK), 2020 Changes in the situation that move very quickly on the commodity market have an impact on financial markets, one of which is the stock market in Indonesia.
Yunita Dewi Safitri, Robiyanto Robiyanto
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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
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Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data [PDF]
, 2007 We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets.
Kocenda, Evûen, Égert, Balázs
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Using MGARCH to Estimate Value at Risk [PDF]
تحقیقات مالی, 2013 In this paper we compared multivariate GARCH models toestimate Value-at-Risk. We used a portfolio of weekly indexesincluding TEDPIX, KLSE, XU100 during ten years. To estimateValue-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tseand Tsui, Dynamic
Mohammad Reza Rostami, Fatemeh Haqiqi
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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
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Systemic risk in the insurance sector: A semi‐parametric approach based on Spearman's rho
Risk Management and Insurance Review, EarlyView.Abstract We propose a new method to measure systemic risk in the global insurance sector by analyzing interconnectedness among firms under different market conditions. Using a semi‐parametric approach that relies on the Spearman correlation and copula‐based partial dependence, we assess relationships in relatively stable, extremely bullish, and ...
Leonardo Iania +2 more
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