Results 11 to 20 of about 392,758 (334)
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.
Enzo Weber
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Pooling Dynamic Conditional Correlation Models [PDF]
SSRN Electronic Journal, 2021 The Dynamic Conditional Correlation (DCC) model by Engle (2002) has become an extremely popular tool for modeling the time-varying dependence of asset returns. However, applications to large cross-sections have been found to be problematic, due to the curse of dimensionality. We propose a novel DCC model with Conditional LInear Pooling (CLIP-DCC) which
van Os, Bram, van Dijk, Dick
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Dynamic correlation between selected cereals traded in commodity exchange market in AP Vojvodina [PDF]
Ekonomika Poljoprivrede (1979), 2022 This paper investigates the level of pairwise dynamic correlations between prices of four agricultural commodities - corn, wheat soybean and barley that are traded in Novi Sad commodity exchange market. We use DCC-GARCH model, which is specially designed
Živkov Dejan +3 more
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Globalization Effects on Contagion Risks in Financial Markets [PDF]
SHS Web of Conferences, 2021 Research background: Financial globalization has opened international capital markets to investors and companies worldwide. However, the global financial crisis has created big volatility in the stock prices that induces a restriction in the reflection ...
Paskaleva Mariya, Stoykova Ani
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FAANG Stocks, Gold, and Islamic Equity: Implications for Portfolio Management during COVID-19
Risks, 2023 During the COVID-19 pandemic, technology stocks, such as FAANG stocks (Facebook, Amazon, Apple, Netflix, and Google), attracted the attention of global investors due to the vast use of technology in daily business.
Kashif Saleem +3 more
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Analytical Gradients of Dynamic Conditional Correlation Models [PDF]
Journal of Risk and Financial Management, 2020 We provide the analytical gradient of the full model likelihood for the Dynamic Conditional Correlation (DCC) specification by Engle (2002), the generalised version by Cappiello et al. (2006), and of the cDCC model by Aielli(2013). We discuss how the gradient might be further extended by introducing elements related to the conditional variance ...
Massimiliano Caporin +2 more
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Dynamics of global stock market correlations: the VIX and attention allocation
Journal of Applied Economics, 2021 This paper investigates the dynamics of international stock return correlations between the U.S., the U.K., Germany and France. Estimated correlations are modeled in an ARDL framework to evaluate how the market-wide uncertainty in the U.S.
Özcan Ceylan
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Emerging market portfolios and Islamic financial markets: Diversification benefits and safe havens
Borsa Istanbul Review, 2022 We examine the relationship between Islamic and conventional stock market returns to see if Islamic financial markets provide portfolio diversification benefits and safe havens during turbulent times.
Mehmet Fatih Bugan +2 more
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Price volatility spillover of Indian onion markets: A comparative study
The Indian Journal of Agricultural Sciences, 2023 To investigate the interdependence between Indian onion markets in terms of price volatility, the present study was conducted in four different vital onion markets in India, viz. Mumbai, Nashik, Delhi and Bengaluru.
KANCHAN SINHA +6 more
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Dynamic correlation length scales under isochronal conditions [PDF]
The Journal of Chemical Physics, 2015 The origin of the dramatic changes in the behavior of liquids as they approach their vitreous state—increases of many orders of magnitude in dynamic time scales and transport properties—is a major unsolved problem in condensed matter. These changes are accompanied by greater dynamic heterogeneity, which refers to both spatial variation and spatial ...
Casalini, R. +2 more
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