Results 31 to 40 of about 41,020 (169)
How to combine precious metals with corn in a risk-minimizing two-asset portfolio?
Agricultural Economics (AGRICECON), 2021 This paper tries to find out which precious metal futures are the best hedging tools for corn spot commodity, taking into account three different risk measures - variance (Var), value at risk (VaR), and conditional value at risk (CVaR).
Dejan Živkov +2 more
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Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes [PDF]
SSRN Electronic Journal, 2012 We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula.
Bodnar, Taras, Hautsch, Nikolaus
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Jurnal Ilmu Sosial dan Humaniora, 2019 Pasca terpilihnya Donald Trump menjadi Presiden Amerika Serikat memberikan pengaruh terhadap perekonomian dunia dengan berbagai kebijakan yang ditetapkan, salah satunya memberi dampak pada pasar saham negara-negara ASEAN, oleh karena itu peneliti ingin ...
Yonatan Alvin Stefan +1 more
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Financial Contagion and Globalization: Evidence from South Asian Countries
International Business and Accounting Research Journal, 2018 This study investigates the contagion and globalization between the South Asian (Pakistan, India, Bangladesh and Sri Lanka) and five largest economies (US, UK, China, Japan and Germany) stock markets.
Muhammad Usman Sana Ullah +3 more
doaj +1 more source
Jurnal Ekonomi Bisnis dan Kewirausahaan (JEBIK), 2020 Changes in the situation that move very quickly on the commodity market have an impact on financial markets, one of which is the stock market in Indonesia.
Yunita Dewi Safitri, Robiyanto Robiyanto
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Nonlinearities and regimes in conditional correlations with different dynamics [PDF]
Journal of Econometrics, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bauwens, Luc, Otranto, Edoardo
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A scalar dynamic conditional correlation model: Structure and estimation [PDF]
Science China Mathematics, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Hui, Pan, Jiazhu
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Weekly Dynamic Conditional Correlations Among Cryptocurrencies and Traditional Assets [PDF]
SSRN Electronic Journal, 2020 This paper adopts a versatile multivariate conditional correlation model to estimate daily seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold and Bitcoin. Besides the well known seasonality in stocks and bonds, the day-of-the-week effect is also present in Bitcoin.
Aslanidis, Nektarios +2 more
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The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns
Risks, 2018 This study utilizes the seven bivariate generalized autoregressive conditional heteroskedasticity (GARCH) models to forecast the out-of-sample value-at-risk (VaR) of 21 stock portfolios and seven currency-stock portfolios with three weight combinations ...
Jung-Bin Su, Jui-Cheng Hung
doaj +1 more source