Safe Haven for Bitcoin: Digital and Physical Gold or Currencies?
Journal of Theoretical and Applied Electronic Commerce ResearchThe recent economic turmoil and the increasing volatility of bitcoins have necessitated the need for exploring safe-haven assets for bitcoins. In this quest, the present study aims to investigate the safe haven for bitcoins by examining the dynamic ...
Halilibrahim Gökgöz +3 more
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Structural dynamic conditional correlation [PDF]
, 2008 In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the structural innovations.
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Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios
Financial Innovation, 2020 This study examines emerging market (EM) local bonds from a portfolio risk perspective and suggests methodologies for risk evaluation, on which the literature is limited.
Mustafa Demirel, Gazanfer Unal
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Analytical Gradients of Dynamic Conditional Correlation models [PDF]
SSRN Electronic Journal, 2011 In this note we provide the analytical gradient of the full model likelihood of the DCC specification of Engle (2002), the generalized version of Cappiello et al. (2006), and of the cDCC model of Aielli (2008).
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Dynamic Conditional Correlation between Dollar, Euro and Oil Prices in Iran with Long Memory and asymmetry (MFIEGARCH-DCC APPROACH) [PDF]
اقتصاد باثباتEvaluating the correlation between financial assets is one of the basic issues in investment analysis and risk management. Investors who try to diversify their asset portfolio in order to avoid risk pay special attention to the connections between ...
Faranak Bastan +2 more
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Financial cycles synchronisation in South Africa. A dynamic conditional correlation (DCC) Approach
Cogent Economics & FinanceThe study analyzed the extent of financial cycle synchronization, as represented by the Aggregate Financial Cycle and the Credit and Housing Cycle, in South Africa from 1975q1 to 2023q4 using the Dynamic Conditional Correlation model and the Vector Erro ...
Khwazi Magubane
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Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. [PDF]
Comput Econ, 2022 Afuecheta E +3 more
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Tail Dependence in Financial Markets: A Dynamic Copula Approach
Risks, 2019 This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model’s parameters and in the ...
Federico Pasquale Cortese
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Assessing the impact of COVID-19 on major industries in Japan: A dynamic conditional correlation approach. [PDF]
Res Int Bus Finance, 2021 Kanno M.
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Lahore Journal of EconomicsThis paper uses the multivariate GARCH dynamic conditional correlation framework proposed by Engle (2002) to investigate time-varying conditional correlation between developed markets and emerging and frontier Asian (EFA) markets.
Mobeen Ur Rehman
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