Results 21 to 30 of about 392,758 (334)
Economies, 2023 The article reports on the interactions and possibility of coordination between macroprudential and monetary policies in South Africa, based on business and financial cycles synchronisation.
Malibongwe Cyprian Nyati +2 more
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Dynamic Conditional Correlation with Elliptical Distributions [PDF]
SSRN Electronic Journal, 2004 The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s twosteps estimate of the model can be easily extended to elliptical conditional distributions and apply di erent leptokurtic DCC models to the ...
Matteo Pelagatti, Stefania Rondena
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Research In International Business and Finance, 2021 This study assesses the impact of the novel coronavirus disease (COVID-19) cases on the Japanese stock market. As of October 30, 2020, the cumulative number of cases in Japan has reached over one hundred thousand. COVID-19 has significantly affected both
Masayasu Kanno
semanticscholar +1 more source
Volatility spillovers and dynamic correlations among foreign exchange rates and bond markets of emerging economies [PDF]
Panoeconomicus, 2021 In this paper, we first examine how important historical shocks during and after the 2007-2008 global financial crisis affect the size and the persistence of volatilities among exchange rates and the ten-year bond rates of the Fragile Five countries (i.e.
Aydemir Resul +2 more
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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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ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS [PDF]
Econometric Theory, 2014 We provide conditions for the existence and the uniqueness of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie’s (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains.
Jean-David Fermanian, Hassan Malongo
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Scientific Reports, 2021 This study aims to evaluate the monitoring and predictive value of web-based symptoms (fever, cough, dyspnea) searches for COVID-19 spread. Daily search interests from Turkey, Italy, Spain, France, and the United Kingdom were obtained from Google Trends (
H. Çınarka +4 more
semanticscholar +1 more source
Mathematics, 2020 The semi-nonparametric (SNP) modeling of the return distribution has been proved to be a flexible and accurate methodology for portfolio risk management that allows two-step estimation of the dynamic conditional correlation (DCC) matrix. For this SNP-DCC
Inés Jiménez +3 more
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Energy Journal, 2019 We look at the dynamic conditional correlations (DCCs) between oil, natural gas and other non-energy commodity futures markets, obtained from a DCC-GARCH model over the period 1998-2014. They are positive and display a sharp increase around year 2008 and
N. Behmiri, M. Manera, M. Nicolini
semanticscholar +1 more source
Correlated Electron-Nuclear Dynamics with Conditional Wave Functions [PDF]
Physical Review Letters, 2014 The molecular Schr dinger equation is rewritten in terms of non-unitary equations of motion for the nuclei (or electrons) that depend parametrically on the configuration of an ensemble of generally defined electronic (or nuclear) trajectories. This scheme is exact and does not rely on the tracing-out of degrees of freedom. Hence, the use of trajectory-
Guillermo Albareda +4 more
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