Results 41 to 50 of about 881 (181)

Financial technology and ESG market: A wavelet-DCC GARCH approach

Research in International Business and Finance
تبحث هذه الورقة في الحركة المشتركة بين أسواق التكنولوجيا المالية والحوكمة البيئية والاجتماعية والحوكمة من منظور مجال التكرار الزمني. نحن نستخدم نهجًا اقترحه فاشا وبارونيك (2012) ونشمل تحليل تماسك الموجات الصغيرة والارتباط الشرطي الديناميكي من نموذج GARCH متعدد المتغيرات (DCC GARCH). نجد علاقة إيجابية كبيرة ثنائية الاتجاه بين مؤشرات FinTech و ESG.
Babak Naysary, Keshab Shrestha
openaire   +2 more sources

Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods

Media Ekonomi dan Manajemen
This 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, Robiyanto Robiyanto, Andrian Dolfriandra Huruta   +2 more
doaj   +1 more source

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
doaj   +1 more source

Contagion and Spillover Effects of the Chinese Housing Crisis on the China‐Focused ETFs Trading in the United States

Pacific Economic Review, EarlyView.
ABSTRACT This study investigates the impact of China's recent real estate crisis, stemming from Evergrande's struggles, on the return and risk profiles of US‐listed exchange traded funds (ETFs) tracking Chinese stock market indexes. Analysing 26 funds from February 2, 2018 to December 31, 2024, we first employ a VAR model to assess contagion and ...
Gerasimos Rompotis, Spyros Papathanasiou, Drosos Koutsokostas   +2 more
wiley   +1 more source

Effective Forecasting of Insurer Capital Requirements: ARMA-GARCH, ARMA-GARCH-EVT, and DCC-GARCH Approaches

Emerging Science Journal
This 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, Pannarat Guayjarernpanishk   +1 more
openaire   +2 more sources

Korelasi Dinamis Antara Pergerakan Harga Minyak Dunia dan Indeks Harga Saham Sektoral di Bursa Efek Indonesia

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
doaj   +1 more source

Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape

European Financial Management, EarlyView.
ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai, Manolis G. Kavussanos, Stergiani Moysiadou   +2 more
wiley   +1 more source

Exchange Markets and Stock Markets Integration in Latin-America

Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2022
We analyze the relationship between the exchange markets and the integration process of the Latin American stock markets (MILA), focusing the analysis on two points.
Jorge Andrés Muñoz Mendoza, Carmen Lissette Veloso Ramos, Sandra María Sepúlveda Yelpo, Carlos Leandro Delgado Fuentealba, Edinson Edgardo Cornejo Saavedra   +4 more
doaj   +1 more source

Robust Estimation and Inference for Time‐Varying Unconditional Volatility

Journal of Time Series Analysis, EarlyView.
ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee, Rickard Sandberg, Genaro Sucarrat   +2 more
wiley   +1 more source

The implication of cryptocurrency volatility on five largest African financial system stability

Financial Innovation
This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility ...
Tonuchi E. Joseph, Atif Jahanger, Joshua Chukwuma Onwe, Daniel Balsalobre-Lorente   +3 more
doaj   +1 more source