IET Renewable Power Generation, Volume 20, Issue 1, January/December 2026.This study proposes an optimal operation framework for active distribution networks that explicitly captures dynamic PV correlation using a SARIMA‐DCC‐GARCH model. By integrating affine power flow analysis with flexible resource scheduling, the method effectively maximises photovoltaic consumption and minimises operational costs while ensuring voltage ...
Junpeng Zhu +6 more
wiley +1 more source
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
doaj
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +1 more source
MIDAS models in banking sector – systemic risk comparison
Managerial Economics, 2018 This paper shows the application of MIDAS based models in systemic risk assessment in banking sector. We consider two popular measures of systemic risk i.e. Marginal Expected Shortfall and Delta Conditional Value at Risk. The GARCH-MIDAS model is used in
Henryk Gurgul +2 more
doaj +1 more source
An empirical investigation of investor sentiment and volatility of realty sector market in India: an application of the DCC-GARCH model. [PDF]
SN Bus Econ, 2023 Pillada N, Rangasamy S.
europepmc +1 more source
Volume and volatility adjusted l-var with dcc-garch modeling
, 2020 Sabit spread, endojen ve eksojen spread teknikleri; Riske Maruz Likidite Değeri'ni (L-VaR) elde etmek için kullanılan bid-ask spread ile birlikte piyasa risk sonuçlarını belirler. Ancak likitide riskin bu geleneksel yöntemleri 2008 krizinden sonra L-VaR tahmin eksikliklerinden dolayı eleştirilmiştir.
openaire +2 more sources
Spillover Effect of Food Producer Price Volatility in Indonesia
EconomiesFood price volatility is a persistent challenge in Indonesia, where agriculture is central to food security and rural livelihoods. While price transmission has been studied, little is known about how volatility spreads sub-nationally in archipelagic ...
Anita Theresia +3 more
doaj +1 more source
How interrelated are MIST equity markets with the developed stock markets of the world?
Cogent Economics & Finance, 2017 This study explores the long-run and short-term relationship between the Mexico, Indonesia, South Korea, and Turkey (MIST) equity markets and the developed stock markets such as US, UK, Germany, Japan, Hong Kong, and Singapore.
Vinodh Madhavan
doaj +1 more source
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
doaj +1 more source
Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models. [PDF]
SN Bus Econ, 2022 Sajeev KC, Afjal M.
europepmc +1 more source