Search Results - subject:"DCCGARCH"

Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic

Siddiqui, Taufeeque Ahmad; Khan, Mazia Fatima; Naushad, … - In: Economies : open access journal 10 (2022) 6, pp. 1-12

-varying multivariate DCC-GARCH model. The findings confirm that certain emerging markets are experiencing contagion from developed markets …

Persistent link: https://www.econbiz.de/10013256277

Risk transmission between green markets and commodities

Naeem, Muhammad Abubakr; Sitara Karim; Jamasb, Tooraj; … - 2022

Persistent link: https://www.econbiz.de/10013173335

Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22

, including an sGARCH(1,1), GJR-GARCH(1,1), TGARCH(1,1), EGARCH(1,1), which we compare to a multivariate DCC-GARCH(1,1) model to … bidirectional shock transmission effects between the cryptocurrency pairs. Hence, the multivariate DCC-GARCH model can identify the …

Persistent link: https://www.econbiz.de/10013368338

Climate finance in the wake of COVID-19 : connectedness of clean energy with conventional energy and regional stock markets

Sitara Karim; Khan, Shabeer; Mirza, Nawazish; Alawi, … - In: Climate change economics : CCE 13 (2022) 3, pp. 1-25

Persistent link: https://www.econbiz.de/10013370199

Oil assets and portfolio diversification : firm-level analysis for Borsa Istanbul

Mandacı, Pınar Evrım; Kırkpınar, Ayşegül - In: Borsa Istanbul Review 22 (2022) 3, pp. 571-585

In this paper, we investigate volatility spillovers between oil prices and the stock prices of the companies listed in Borsa Istanbul. We employ the dynamic conditional correlation (DCC) and Baba, Engle, Kraft, and Kroner (BEKK) GARCH models using daily data for the period between June 22, 2015,...

Persistent link: https://www.econbiz.de/10013334792

The impact of COVID-19 on the interdependence between US and Chinese oil futures markets

Zhang, Yongmin; Ding, Shusheng; Shi, Haili - In: The journal of futures markets 42 (2022) 11, pp. 2041-2052

Persistent link: https://www.econbiz.de/10013465862

Increasing portfolio overlap of Japanese regional banks with global investment funds and its financial stability implications

Koide, Yoshiyasu; Hogen, Yoshihiko; Sudo, Nao - 2022

Persistent link: https://www.econbiz.de/10014305172

Is bitcoin a diversifier, hedge or safe haven for traditional and alternate asset classes?

Chopra, Monika; Mehta, Chhavi - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-21

over a period of 10 years and during COVID-19 pandemic. Using a DCC-GARCH method, the study finds weak hedge and safe haven …

Persistent link: https://www.econbiz.de/10015074141

Is bitcoin a diversifier, hedge or safe haven for traditional and alternate asset classes?

Chopra, Monika; Mehta, Chhavi - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

over a period of 10 years and during COVID-19 pandemic. Using a DCC-GARCH method, the study finds weak hedge and safe haven …

Persistent link: https://www.econbiz.de/10014500425

Commodity and stock market interlinkages : opportunities and challenges for investors in Indian market

Jhunjhunwala, Shital; Suresh, Sandra - In: Global business review 25 (2024) 2_suppl, pp. 42S-58S

Persistent link: https://www.econbiz.de/10014634274