Results 81 to 90 of about 54,114 (238)
, 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
Business Strategy and the Environment, Volume 35, Issue 3, Page 3561-3606, March 2026.ABSTRACT Investors have long recognized the importance of firms in promoting sustainability, leading to the rise of socially responsible investment (SRI). Specifically, there is a growing preference for exchange‐traded funds (ETFs) that prioritize environmental, social, and governance (ESG) principles.
Sandra Tenorio‐Salgueiro +3 more
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
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
Waves of Uncertainty: Crude Oil Under Geopolitical, Economic, and ESG Turbulence
Energy Science &Engineering, Volume 14, Issue 3, Page 1258-1272, March 2026.Dynamic copula and wavelet coherence reveal that geopolitical, economic, and sustainability uncertainties significantly shape crude oil price co‐movements. Long‐term coherence, especially post‐2015, highlights the growing role of ESG risks alongside geopolitical shocks and economic crises in global energy risk transmission.
Sana Braiek +3 more
wiley +1 more source
Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH [PDF]
SSRN Electronic Journal, 2015 The global economy is highly dependent on commodity prices, which are, by and large, the outcome of market-specific supply and demand fundamentals. As a result, driven by different determinants, financial assets and commodity prices should be negligibly correlated.
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, 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.
Nordström, Christofer
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Systemic risk in the insurance sector: A semi‐parametric approach based on Spearman's rho
Risk Management and Insurance Review, Volume 29, Issue 1, Page 64-98, Spring 2026.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
wiley +1 more source
Preliminary tests for DCC-GARCH model.
, 2022 Preliminary tests for DCC-GARCH model.
Farman Ullah Khan (9279383) +5 more
core +1 more source