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. …

dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …

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 …