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DCC-GARCH
18
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16
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7
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6
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6
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6
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5
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5
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Faldzinski, Marcin
6
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5
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5
Pietrzak, Michal Bernard
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4
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2
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21
Do future markets protect the spot markets in developing countries? The case of the Egyptian wheat market
Ahmed, Osama
- In:
New Medit
20
(
2021
)
5
,
pp. 65-83
examines the dynamic conditional correlation between the prices considered using the asymmetric
DCC
-GARCH. Results suggest a …
Persistent link: https://www.econbiz.de/10012798622
Saved in:
22
Optimal dynamic hedging in selected markets
Yılmaz, Tunahan
- In:
International Econometric Review (IER)
13
(
2021
)
4
,
pp. 89-117
the most efficient hedging portfolio for each emerging country, firstly, we used
Dcc
-Figarch specifications to measure …
Persistent link: https://www.econbiz.de/10014518990
Saved in:
23
On the economic determinants of optimal stock-bond portfolios: International evidence
Conrad, Christian
;
Stürmer, Karin
-
2017
Using a modified
DCC
-MIDAS specification that allows the long-term correlation component to be a function of multiple … new
DCC
-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark …
Persistent link: https://www.econbiz.de/10011853171
Saved in:
24
An analysis of CEE equity market integration and their volatility spillover effects
In:
European Journal of Management and Business Economics …
29
(
2020
)
1
,
pp. 23-40
/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and
DCC
models. Findings The estimation results of the … multivariate GARCH-BEKK alongside with CCC and
DCC
models. The study makes an outstanding contribution to the existing literature …
Persistent link: https://www.econbiz.de/10013193224
Saved in:
25
Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
Robiyanto, Robiyanto
;
Nugroho, Bayu Adi
;
Handriani, Eka
; …
- In:
Financial Innovation
6
(
2020
)
1
,
pp. 1-29
Philippines). Protective put strategy,
DCC
-GARCH, and Markowitz optimization are used to measure hedge effectiveness, risk …
Persistent link: https://www.econbiz.de/10012602883
Saved in:
26
Analytical gradients of dynamic conditional correlation models
Caporin, Massimiliano
;
Lucchetti, Riccardo
;
Palomba, Giulio
- In:
Journal of Risk and Financial Management
13
(
2020
)
3
,
pp. 1-21
We provide the analytical gradient of the full model likelihood for the Dynamic Conditional Correlation (
DCC
…
Persistent link: https://www.econbiz.de/10012611272
Saved in:
27
Dynamic spillovers between gulf cooperation council's stocks, VIX, oil and gold volatility indices
Alqahtani, Abdullah
;
Chevallier, Julien
- In:
Journal of Risk and Financial Management
13
(
2020
)
4
,
pp. 1-17
oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to
DCC
…
Persistent link: https://www.econbiz.de/10012611298
Saved in:
28
Volatility spillovers between the European and South African foreign exchange markets
Niyitegeka, Olivier
;
Tewari, Devi D.
- In:
Cogent Economics & Finance
8
(
2020
)
1
,
pp. 1-17
autoregressive conditional heteroskedasticity (MGARCH) models, namely bivariate BEKK-GARCH (1,1) a nd
DCC
-GARCH(1,1). Based on two …
Persistent link: https://www.econbiz.de/10012657588
Saved in:
29
¿Ocurrió efecto contagio en los mercados de acciones de América Latina durante la crisis financiera global?
de Jesús Gutiérrez, Raúl
- In:
Revista de Métodos Cuantitativos para la Economía y …
29
(
2020
),
pp. 237-258
This paper tests the existence of financial contagion between US and Latin America stock markets based on the analysis of pattern of the correlation coefficients during crisis and stable periods. The study applies a dynamic conditional correlation multivariate GARCH model to estimate...
Persistent link: https://www.econbiz.de/10014494541
Saved in:
30
Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage
Zhao, Zhao
;
Ledoit, Olivier
;
Jiang, Hui
-
2020
that the
DCC
-NL estimator results in risk reduction and efficiency increase in large portfolios as long as a small amount … of leverage is allowed, whereas tightening the leverage constraint often hurts a
DCC
-NL portfolio. …
Persistent link: https://www.econbiz.de/10012155364
Saved in:
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