Results 61 to 70 of about 312 (108)

Foreign exchange hedging using regime‐switching models: The case of pound sterling

International Journal of Finance &Economics, Volume 29, Issue 4, Page 4813-4835, October 2024.
Abstract We develop a four‐state regime‐switching model for optimal foreign exchange (FX) hedging using forward contracts. The states correspond to four distinct market conditions, each defined by the direction and magnitude of deviation of the prevailing FX spot rate from its long‐term trends.
Taehyun Lee, Ioannis C. Moutzouris, Nikos C. Papapostolou, Mahmoud Fatouh   +3 more
wiley   +1 more source

Predicting tail risks by a Markov switching MGARCH model with varying copula regimes

Journal of Forecasting, Volume 43, Issue 6, Page 2163-2186, September 2024.
Abstract To improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio risk forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS‐C‐MGARCH) model of Fülle and Herwartz (2022). As an empirical illustration, we take the perspective of a
Markus J. Fülle, Helmut Herwartz
wiley   +1 more source

Modeling and forecasting the volatility of some industry development indicators in Ethiopia using multivariate GARCH models

Scientific Reports
Industry development indicators refer to a set of measures used to assess the performance and growth of industries. The main aim of this study was to assess the relationship between industry development indicators in Ethiopia using a multivariate GARCH ...
Getachew Abate Dagnew, Birhan Walie Alamneh, Wosenie Gebireamanuel Hailu   +2 more
doaj   +1 more source

The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye

Central Bank Review
The Turkish economy has encountered significant shocks in interest rates and foreign exchange along with global risks in recent years. These shocks had an impact not only on the real sector but also on the banking sector's returns, depending on the ...
Serkan Çiçek, Aynur Yıldırım
doaj   +1 more source

Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective [PDF]

With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing
Fedorova, Elena
core  

Asymptotic Theory for Rotated Multivariate GARCH Models [PDF]

, 2018
In this paper, we derive the statistical properties of a two step approach to estimating multivariate GARCH rotated BEKK (RBEKK) models. By the denition of rotated BEKK, we estimate the unconditional covariance matrix in the rst step in order to rotate
Pauwels, L. (Laurent), Asai, M, Chang, CL, Chang, C-L. (Chia-Lin), Pauwels, Laurent, McAleer, M.J. (Michael), Chang, Chia-Lin, McAleer, Michael, Asai, M. (Manabu), Asai, Manabu, Pauwels, L   +10 more
core   +2 more sources

The implication of cryptocurrency volatility on five largest African financial system stability

Financial Innovation
This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility ...
Tonuchi E. Joseph, Atif Jahanger, Joshua Chukwuma Onwe, Daniel Balsalobre-Lorente   +3 more
doaj   +1 more source

Comparación empírica de modelos de valor en riesgo (VAR) para un portafolio compuesto por el peso colombiano, el real brasilero y el peso mexicano

, 2011
El objetivo de este trabajo es evaluar diferentes metodologías para estimar el VaR de un portafolio compuesto por tres monedas, el peso colombiano, el real brasilero y el peso mexicano.
Tamura Mazo, Sayuri Paola, Castro Ramírez, John Wilmar   +1 more
core   +1 more source

Dividendos e volatilidades: Spillover e causalidade em segunda ordem, cambial e financeira

, 2021
Examining daily stock returns, the dollar exchange rate, and the Ibovespa index from 2010 to 2020, this study analyzes spillovers of Brazilian stock market volatility, using conditional correlations.
Maranhão, André Nunes, Moreira, Guilherme Costa Chadud   +1 more
core  

Sparse multivariate GARCH

, 2016
We propose sparse versions of multivariate GARCH models that allow for volatility and correlation spillover effects across assets. The proposed models are generalizations of existing diagonal DCC and BEKK models, yet they remain estimable for high ...
Dhaene, Geert, Wu, Jianbin
core