Results 61 to 70 of about 6,666 (205)
Dynamic Conditional Correlations for Asymmetric Processes [PDF]
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models
Manabu Asai, Michael McAleer
core +3 more sources
, 2021 When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. Hence it is natural to extend from a univariate GARCH model to a multivariate GARCH model when examining portfolio ...
openaire +1 more source
Journal of Futures Markets, Volume 45, Issue 11, Page 2166-2185, November 2025.ABSTRACT Our research is one of the first to provide evidence to distinguish between two types of uncertainty: the volatility (VOL) risk and the volatility‐of‐volatility (VOV) risk. We outline a theoretical framework of state‐dependent correlations between the S&P 500 stock index and volatility index (VIX).
Leon Li, Carl R. Chen
wiley +1 more source
Connectedness Analysis And Investment Strategy Between Stablecoins And International Stock Indices
Jurnal ManajemenThis research analyzes the dynamic connectedness between fiat-based stablecoins represented by USDC, USDP, and USDT, and gold-based stablecoins represented by DGX and GLC with indices international stocks represented by S&P500, STOXX50, Nikkei225 ...
Ika Maradjabessy, Zaafri Ananto Husodo
doaj +1 more source
Revista de Economia e Sociologia Rural, 2019 Resumo Trabalhos recentes têm mostrado uma falta de integração entre o mercado do produtor e o varejo na cadeia produtiva da carne suína. Uma solução para amenizar esse entrave poderia ser feito por meio da estratégia de hedge dinâmico com o modelo Garch-
Jovani Patias +4 more
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Global Spillovers Between Sustainable and Traditional ETFs: Crisis Dynamics and Policy Implications
Global Policy, Volume 16, Issue 5, Page 862-873, November 2025.ABSTRACT This paper examines the interconnections between segments of exchange‐traded funds (ETFs), bridging the traditional financial perspective with the sustainability‐driven approach based on the Sustainable Development Goals (SDGs) outlined in Agenda 2030. The analysis is endogenous, focusing on the shocks that emerge within the system composed of
Vítor Manuel de Sousa Gabriel +4 more
wiley +1 more source
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
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European Financial Management, Volume 31, Issue 5, Page 1742-1770, November 2025.ABSTRACT This paper investigates the dynamic transition of the Chinese stock market towards a just and sustainable future by examining the tail risk connectedness and frequency‐quantile dependence between a series of sustainability indices and Chinese stock market sectors. Employing the novel TVP‐VAR‐CAViaR connectedness method and the wavelet quantile
Hongjun Zeng +3 more
wiley +1 more source
A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets
Entrepreneurial Business and Economics Review, 2018 Objective: In this article, we try to determine whether there are contagion effects across the Greek stock market and the Belgian, French, Portuguese, Irish, Italian and Spanish stock markets during both crises periods.
Mohamed Ali Trabelsi, Salma Hmida
doaj +1 more source