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Exogenous shocks, dynamic correlations, and portfolio risk management for the Asian emerging and other global developed and emerging stock markets

Dong, Xiyong; Li, Changhong; Yoon, Seong-min - In: Applied economics 52 (2020) 43, pp. 4745-4764

Persistent link: https://www.econbiz.de/10012298738

Exogenous Shocks, Dynamic Correlations, and Portfolio Risk Management for the Asian Emerging and Other Global Developed and Emerging Stock Markets

Dong, Xiyong; Li, Changhong; Yoon, Seong-Min - 2023

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...

Persistent link: https://www.econbiz.de/10014351309

Correlations and volatility spillover from China to Asian and Latin American Countries : identifying diversification and hedging opportunities

Yadav, Miklesh Prasad; Sharma, Sudhi; Aggarwal, Vaibhav; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

the spillover effect from Chinese stock exchange to stock exchanges of Asia and Latin America, namely, India, Indonesia … Heteroskedasticity (MGARCH) model with BEKK, diagonal, Constant Conditional Correlation (CCC), and finally, Dynamic Conditional … Correlation (DCC) specifications. DCC model outperforms among others and identifies two diversification opportunities with Mexican …

Persistent link: https://www.econbiz.de/10014500295