Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …

exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the …This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility …

Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … results are then compared to related models, such as stochastic volatility models or Log-ACD models. …

combination of DCC (Dynamic Conditional Correlation - a well-known Multivariate GARCH model) - with NL (Non-Linear shrinkage, a … substantial upgrade upon linear shrinkage technology); although 130/30 DCC-NL comes a close second. This is true both in the "pure …

the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that … volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest …