Results 41 to 50 of about 41,020 (169)
Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods
Media Ekonomi dan ManajemenThis study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional ...
Dismas Oktavianto +2 more
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Economies, 2018 This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic ...
Lorna Katusiime
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Conditional co-movement and dynamic interactions: US and BRIC equity markets [PDF]
Ekonomski Anali, 2017 The present study attempts to capture conditional or time-varying co-movement and dynamic interactions between the US and BRIC (Brazil, Russia, India, and China) equity markets across the sample period 2004 to 2014 by employing diverse ...
Singh Amanjot, Singh Manjit
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Volatility spillovers, structural breaks and uncertainty in technology sector markets
Financial Innovation, 2023 This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with financial assets in the face of economic and financial uncertainty.
Linn Arnell +4 more
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Using MGARCH to Estimate Value at Risk [PDF]
تحقیقات مالی, 2013 In this paper we compared multivariate GARCH models toestimate Value-at-Risk. We used a portfolio of weekly indexesincluding TEDPIX, KLSE, XU100 during ten years. To estimateValue-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tseand Tsui, Dynamic
Mohammad Reza Rostami, Fatemeh Haqiqi
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A generalized Dynamic Conditional Correlation model for portfolio risk evaluation [PDF]
Mathematics and Computers in Simulation, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Billio M, CAPORIN, MASSIMILIANO
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A commentary on emerging markets banking sector spillovers: Covid-19 vs GFC pattern analysis
Heliyon, 2022 The emerging-market banking sector plays a significant role in modern-day banking sector stability. In this study, we have used the dynamic conditional correlation (DCC) version of the Generalised autoregressive conditional heteroscedasticity (GARCH ...
Mustafa Raza Rabbani +3 more
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Determinants of the Long-Term Correlation between Crude Oil and Stock Markets
Energies, 2019 This study employed a dynamic conditional correlation−mixed-data sampling (DCC−MIDAS) approach and panel data analysis to examine the factors that influence the long-term correlation between crude oil and stock markets.
Lu Yang +3 more
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A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations [PDF]
SSRN Electronic Journal, 2007 We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations and develop a two-step estimation procedure that is feasible in large dimensional applications. Optimal threshold functions are estimated endogenously from the data and the model conditional covariance matrix is ensured to be positive definite. We study
Audrino, Francesco, Trojani, Fabio
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StatsThe extent of correlation or co-movement among the returns of developed and emerging stock markets remains pivotal for efficiently diversifying global portfolios.
Anas Eisa Abdelkreem Mohammed +2 more
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