Search Results - subject:"DCC Model"

The Phillips Curve in the United States and Canada: A GARCHDCC Analysis

Yang, Lu; Hamori, Shigeyuki - In: Journal of Reviews on Global Economics 3 (2014), pp. 1-6

By applying the GARCH-DCC model, we reexamine the Phillips curve based on a time-varying correlation analysis for …

Persistent link: https://www.econbiz.de/10010739256

Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction

Lee, Yen-Hsien; Huang, Ya-Ling; Wu, Chun-Yu - In: International Journal of Energy Economics and Policy 4 (2014) 3, pp. 327-336

their optimal hedge ratio and portfolio weights. The empirical result is that the hedge effectiveness of DCC model is better …

Persistent link: https://www.econbiz.de/10010801079

Do Increasing Block Rate Water Budgets Reduce Residential Water Demand? A Case Study in Southern California

Baerenklau, Kenneth A.; Schwabe, Kurt; Dinar, Ariel - Agricultural and Applied Economics Association - AAEA - 2014

This study investigates the effect of introducing a fiscally neutral increasing block-rate water budget price structure on residential water demand. We estimate that demand was reduced by at least 18 percent, although the reduction was achieved gradually over more than three years. As...

Persistent link: https://www.econbiz.de/10011068711

Modeling international stock market contagion using multivariate fractionally integrated APARCH approach

Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25

The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...

Persistent link: https://www.econbiz.de/10010490457