Search Results - subject:"DCCGARCH"

Ghorbel, Achraf; Abbes, Mouna Boujelbène; Boujelbène, … - In: International Journal of Managerial and Financial Accounting 4 (2012) 2, pp. 177-194

analysed using three multivariate GARCH specifications specifically the BEKK-GARCH model, the CCC-GARCH model and the DCC-GARCH …

Persistent link: https://www.econbiz.de/10010816753

Celık, Sibel - In: Economic Modelling 29 (2012) 5, pp. 1946-1959

developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during …

Persistent link: https://www.econbiz.de/10011048686

Filis, George; Degiannakis, Stavros; Floros, Christos - In: International review of financial analysis 20 (2011) 3, pp. 152-164

Persistent link: https://www.econbiz.de/10009295790

Guesmi, Khaled; Nguyen, Duc Khuong - In: Economic Modelling 28 (2011) 6, pp. 2517-2527

conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH parameters that allows for dynamic …

Persistent link: https://www.econbiz.de/10010573354

Aslanidis, Nektarios; Osborn, Denise R.; Sensier, Marianne - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 366-380

Persistent link: https://www.econbiz.de/10008811289

Pérez-Rodríguez, Jorge - In: Atlantic Economic Journal 34 (2006) 4, pp. 367-384

and dynamic conditional correlation (DCC)–GARCH model with country-specific effects. The following conclusions are drawn …

Persistent link: https://www.econbiz.de/10005680250

Prukumpai, Suthawan; Sethapramote, Yuthana - ToKnowPress

development of stock market integration in East Asia using Dynamic Conditional Correlation GARCH (DCC-GARCH) model of Engle (2002 …

Persistent link: https://www.econbiz.de/10010713895