Results 31 to 40 of about 392,758 (334)
A Transmission of Beta Herding during Subprime Crisis in Taiwan’s Market: DCC-MIDAS Approach
International Journal of Financial Studies, 2021 The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that
Yi-Chang Chen +3 more
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Macro-economic determinant and interdependence of the stock markets
Economic Journal of Emerging Markets, 2019 This study examines the time-varying long-term stock market interdependence between china and the ten emerging economies, using Johansen co-integration and Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC ...
Asim Rafiq, Shahbib Hassan
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Borsa Istanbul Review, 2014 A major issue in both Islamic finance and conventional finance is whether the shocks to the volatilities in the asset returns are substitutes or complements in terms of taking risk.
Buerhan Saiti +2 more
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A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets
Entrepreneurial Business and Economics Review, 2018 Objective: In this article, we try to determine whether there are contagion effects across the Greek stock market and the Belgian, French, Portuguese, Irish, Italian and Spanish stock markets during both crises periods.
Mohamed Ali Trabelsi, Salma Hmida
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Examination of Dynamic Correlation between Major Assets in Iran by DCC-GARCH Approach [PDF]
پژوهشهای اقتصادی, 2015 This study investigates the time-varying correlations among oil and coin prices, and exchange rate in Iran. Since investment is a key factor in economic growth and development, so the necessary funds should be provided and directed towards manufacturing ...
Shadi Amiri +3 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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Cholesky GAS models for large time-varying covariance matrices
Journal of Management Science and EngineeringThis paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices, called Cholesky generalized autoregressive score (GAS) models, which are based on the Cholesky decomposition of the covariance matrix and ...
Tingguo Zheng, Shiqi Ye
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Analysis of Performance Deviation of Wind Power Enterprises in China
Frontiers in Energy Research, 2020 Considering increased global emphasis on energy security, low-carbon economy and environmental governance, the proportion of renewable energy will increase in national power grid systems.
Tao Zhang, Xin Qi
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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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