market stock performances, we use the ICSS algorithm along with the GARCH model to evaluate how the number of rapid changes …

outbreak. During the COVID-19 sub-period, gold is shown to be a strong hedge (diversifier) for the majority (minority) of Asian … analyses show that the hedge portfolio returns in many cases are mostly driven by gold implied volatility and inflation …

Using the GARCH model and quantile regression with dummy variables, we investigate the hedging and safe haven … futures and clean energy stocks have a weak hedge and a semi-strong safe haven in different market conditions. Carbon futures … other hand, possess a weak hedge across market conditions and a strong safe haven in bull markets. Sub-sample analyses of …

price/policy indices, which suggests the possible role of dirty/green cryptocurrencies as a weak hedge for UCRY price and … policy indices. These findings provide potential avenues to hedge cryptocurrency uncertainties using conventional and …

Our study collected and synthetized the existing knowledge on portfolio diversification, hedge, and safe … bibliometric analysis. Our results indicate a fast-growing literature evidencing cryptocurrencies’ ability to hedge against stocks … market, CBOE Bitcoin futures, and crude oil to hedge against unexpected movements in the cryptocurrency market. …

, including principal component analysis, GARCH-family model, and LASSO regression. The results of this paper suggest that the …

futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a …

generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average …

the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We …