Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. [PDF]
Resour Policy, 2022 Yıldırım DÇ, Esen Ö, Ertuğrul HM.
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Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. [PDF]
Financ Innov, 2022 Özdemir O.
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The impact of crude oil prices on Chinese stock markets and selected sectors: evidence from the VAR-DCC-GARCH model. [PDF]
Environ Sci Pollut Res Int, 2022 Hashmi SM, Ahmed F, Alhayki Z, Syed AA.
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Portfolio Optimization : A DCC-GARCH forecast with implied volatility
, 2019 This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1.1) process and an external ...
Bigdeli, Sam, Bengtsson, Filip
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Borsa Istanbul Review, 2019 We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh +2 more
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Time-varying covariance structures A DCC-GARCH approach to testing the CAPM
, 2023 This master's thesis examines the implications of applyingtime-varying covariance structures betweenfour majorasset classes in the US economy within the framework of the conditional Capital Asset Pricing Model (CAPM). The DCC-GARCH-in-mean modelis employed to estimate the time-varying covariance structures.
Draget, Julian Alexander +1 more
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Examination of Dynamic Correlation between Major Assets in Iran by DCC-GARCH Approach [PDF]
پژوهشهای اقتصادی, 2015 This study investigates the time-varying correlations among oil and coin prices, and exchange rate in Iran. Since investment is a key factor in economic growth and development, so the necessary funds should be provided and directed towards manufacturing ...
Shadi Amiri +3 more
doaj
Aperture NeuroAlzheimer's disease (AD) has a prolonged latent phase. Sensitive biomarkers of amyloid beta ($A\beta$), in the absence of clinical symptoms, offer opportunities for early detection and identification of patients at risk. Current $A\beta$ biomarkers, such
Kun Yue +4 more
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DCC-Garch Models Using Islamic Market and European Market Indices
Islamic Banking and Finance Review, 2017 The last financial crisis (2007-2008) raises the question of how European stock shocks are distributed and transmitted from developed stock markets to Islamic stock markets. More precisely, the problem related to Islamic finance or any other alternative finance is, whether the shocks to the volatilities in the asset returns constitute substitute or ...
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DCC-GARCH modeller med ulike avhengighetsstrukturer
, 2013 Hovedfokuset i denne oppgaven er å finne gode metoder for modellering av volatilitet og avhengighetsstruktur i finansielle porteføljer. En spesifikk multivariat GARCH modell, Dynamic Conditional Correlation (DCC-) GARCH, kombineres med copulaer og par-copula-konstruksjoner for å få en mer fleksibel modell til å modellere nettopp dette.
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