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Drivers of capital inflow: Does global uncertainty matter?

Sanusi, Kazeem Abimbola; Kapingura, Forget Mingiri - In: Cogent Business & Management 9 (2022) 1, pp. 1-20

). The study employed the Dynamic Conditional Correlation (DCC GARCH) to investigate time-varying correlation among the …

Persistent link: https://www.econbiz.de/10014505602

Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...

Persistent link: https://www.econbiz.de/10010377227

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

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

Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2020

that the DCC-NL estimator results in risk reduction and efficiency increase in large portfolios as long as a small amount … of leverage is allowed, whereas tightening the leverage constraint often hurts a DCC-NL portfolio. …

Persistent link: https://www.econbiz.de/10012155364