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A cryptocurrency spectrum short analysis

Șcheau, Mircea Constantin; Crăciunescu, Simona Liliana; … - In: Journal of risk and financial management : JRFM 13 (2020) 8/184, pp. 1-16

Technological development brings about economic changes that affect most citizens, both in developed and undeveloped countries. The implementation of blockchain technologies that bring cryptocurrencies into the economy and everyday life also induce risks. Authorities are continuously concerned...

Persistent link: https://www.econbiz.de/10012321949

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9

In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky … than one hedging instrument, multivariate covariances and correlations have to be calculated. As optimal hedge ratios are … and correlations. These values can either be determined analytically or numerically on the basis of highly advanced …

Persistent link: https://www.econbiz.de/10012022209

The influence of domestic and foreign shocks on portfolio diversification gains and the associated risks

Narayan, Seema - In: Journal of risk and financial management : JRFM 12 (2019) 4/160, pp. 1-26

dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The … correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be …). Further, under bear market conditions, adjustments in correlations and correlation volatilities are found to be mostly US …

Persistent link: https://www.econbiz.de/10012172980