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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/10010250536

Spillover effects between US and major European stock markets

Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184

Persistent link: https://www.econbiz.de/10010403630

A time-varying perspective on the CAPM and downside betas

Tsai, Hsiu-Jung; Chen, Ming Chieh; Yang, Chih-Yuan - In: International review of economics & finance : IREF 29 (2014), pp. 440-454

Persistent link: https://www.econbiz.de/10010432321

Volatility spillovers between energy and agricultural markets : a critical appraisal of theory and practice

Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015

conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi … literature have used the DCC model to test for volatility spillovers. However, it is well known in the financial econometrics … literature that the DCC model has no regularity conditions, and that the QMLE of the parameters of DCC has no asymptotic …

Persistent link: https://www.econbiz.de/10011295732

Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 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/10011296721

On the stationarity of dynamic conditional correlation models

Fermanian, Jean-David; Malongo, Hassan - 2013

Persistent link: https://www.econbiz.de/10010342712

Are Islamic gold-backed cryptocurrencies different?

Aloui, Chaker; Ben Hamida, Hela; Yarovaya, Larisa - In: Finance research letters 39 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012805330

Measurement of systemic risk in the Colombian banking sector

Rivera-Escobar, Orlando; Escobar, John Willmer; … - In: Risks : open access journal 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/10012805886

Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX : a comparison between DCC, ADCC and GO-GARCH models

Hachicha, Nejib; Ghorbel, Ahmed; Feki, Mohamed Chiheb; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 209-225

January 2000 to April 2019, along with, DCC, ADCC and GO-GARCH models as well as a hedging effectiveness criterion, we …

Persistent link: https://www.econbiz.de/10013183878

Hedge and safe haven properties during COVID-19 : evidence from Bitcoin and gold

Chemkha, Rahma; BenSaïda, Ahmed; Ghorbel, Ahmed; … - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 71-85

Persistent link: https://www.econbiz.de/10013258258