Results 21 to 30 of about 41,020 (169)
Contagion Effect of Financial Markets in Crisis: An Analysis Based on the DCC–MGARCH Model
Mathematics, 2022 Global crises have created unprecedented challenges for communities and economies across the world, triggering turmoil in global finance and economy. This study adopts the dynamic conditional correlation multiple generalized autoregressive conditional ...
Xiuping Ji +4 more
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Ten Things You Should Know about the Dynamic Conditional Correlation Representation
Econometrics, 2013 The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution
Massimiliano Caporin, Michael McAleer
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Covariance Principle for Capital Allocation: A Time-Varying Approach
Mathematics, 2021 The covariance allocation principle is one of the most widely used capital allocation principles in practice. Risks change over time, so capital risk allocations should be time-dependent.
Jilber Urbina +2 more
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Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction [PDF]
Iranian Journal of Finance, 2021 In this study, we examine the correlation between stock returns of Export-oriented (EOIs) and Import-oriented (IOIs) industries and exchange rates, to derive stock-exchange optimal weights, attempting to manage the risk of investors in the capital market.
Maryam Bazraei +3 more
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Oil price shocks, equity markets, and contagion effect in OECD countries [PDF]
The European Journal of Comparative Economics, 2020 This paper revisits the dynamic linkages between the Brent oil market and OECD stock markets. Econometrically, we use a multivariate corrected dynamic conditional correlation fractionally integrated asymmetric power ARCH (c-DCC-FIAPARCH) process ...
Khaled Guesmi +3 more
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Micromachines, 2015 A signal processing technique is presented to improve the angular rate accuracy of Micro-Electro-Mechanical System (MEMS) gyroscope by combining numerous gyroscopes.
Jieyu Liu, Qiang Shen, Weiwei Qin
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The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta [PDF]
تحقیقات مالی, 2015 The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman
Hojjatollah Bagherzadeh +1 more
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The Effects of Short Selling on Financial Markets Volatilities
European Journal of Business Science and Technology, 2019 The paper investigates the relationship between short selling activities of stocks on the volatility of the US market and its sectors. We apply the multivariate DCC GARCH Model on the NYSE US 100 Index between November 2017 and October 2018.
Kwaku Boafo Baidoo
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Investigating ICAPM with Dynamic Conditional Correlations [PDF]
SSRN Electronic Journal, 2008 This paper examines the intertemporal relation between expected return and risk for 30 stocks in the Dow Jones Industrial Average. The mean-reverting dynamic conditional correlation model of Engle (2002) is used to estimate a stock's conditional covariance with the market and test whether the conditional covariance predicts time-variation in the stock ...
Turan G. Bali, Robert F. Engle
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Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
Финансы: теория и практика, 2022 This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
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