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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics 3 (2015) 2, pp. 215-232
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 …
Persistent link: https://www.econbiz.de/10011755278
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Data Analysis for Risk Management – Economics, Finance and Business
Jajuga, Krzysztof (contributor);  … - 2024
This reprint concerns methods of data analysis for risk management in economics, finance, and business. The presented papers contain research on data analysis methods, including classical statistical methods, and machine learning methods that have emerged from statistics and are being...
Persistent link: https://www.econbiz.de/10015324884
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Structural dynamic conditional correlation
Weber, Enzo - 2008
In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the...
Persistent link: https://www.econbiz.de/10010263754
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The effect of COVID-19 on cryptocurrencies and the stock market volatility: A two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-17
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 …
Persistent link: https://www.econbiz.de/10014332800
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M.; Meyer, Katharina M. M. - 2003
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. …
Persistent link: https://www.econbiz.de/10010266138
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Measurement of systemic risk in the Colombian banking sector
Rivera-Escobar, Orlando; Escobar, John Willmer; … - In: Risks 10 (2022) 1, pp. 1-27
This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK....
Persistent link: https://www.econbiz.de/10013200913
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Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage
Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019
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 …
Persistent link: https://www.econbiz.de/10012040364
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The Euro Introduction and Non-Euro Currencies
van Dijk, Dick; Munandar, Haris; Hafner, Christian M. - 2005
the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …
Persistent link: https://www.econbiz.de/10010325483
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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...
Persistent link: https://www.econbiz.de/10010281337
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Effects of information related to the Russia-Ukraine conflict on stock volatility: An EGARCH approach
Gheorghe, Cæatæalin; Panazan, Oana - In: Cogent Economics & Finance 11 (2023) 2, pp. 1-33
. This study aims to quantify the volatility engendered by the conflict, drawing from the analysis of stock market indices … across 40 countries. Time-series returns data from January 1 to December 31, 2022, were examined utilizing EGARCH econometric … models. The relationship between volatility and news regarding the conflict was analyzed through a vector autoregression …
Persistent link: https://www.econbiz.de/10015074787