Results 71 to 80 of about 6,675 (205)
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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International Studies of Economics, Volume 20, Issue 4, Page 390-409, December 2025.ABSTRACT This study examines the impact of climate policy uncertainty (CPU) on world energy stock returns. Evidence shows that a rise in CPU causes stocks to plummet in individual countries, regions, and the world energy stock markets. The negative effects are also exhibited in climate induced risks, the covariance between a change in CPU and equity ...
Thomas C. Chiang
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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
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Revista de Métodos Cuantitativos para la Economía y la Empresa, 2019 La tasa de cambio está influenciada por múltiples factores macroeconómicos nacionales e internacionales, lo que genera altos niveles de incertidumbre.
Maya Sierra, Giuliana +1 more
doaj
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
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Portfolio optimization with mixture vector autoregressive models
, 2020 Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as ...
Boshnakov, Georgi N., Ravagli, Davide
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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
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Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange [PDF]
In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility.
Yilmaz, Tolgahan
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Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH Model [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran.
Firouz Fallahi +3 more
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European Financial Management, Volume 31, Issue 5, Page 1704-1719, November 2025.ABSTRACT This study highlights the significance of incorporating environmental, social, and governance (ESG) criteria within investment strategies to strengthen risk management in volatile markets. Employing time‐varying parameter vector autoregressions and dynamic conditional correlation generalized autoregressive conditional heteroskedasticity models,
Mohamed Arouri +2 more
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