Search Results - subject:"DCC garch"

Are there other fish in the sea? : exploring the hedge, diversifier and safe-haven features of ESG investments

Pedini, Luca; Severini, Sabrina - In: Studies in economics and finance 42 (2025) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10015199632

Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models

Gherghina, Ştefan Cristian; Constantinescu, … - 2025

models (GARCH, EGARCH, TGARCH, and DCC-GARCH). This research aims to examine the persistence of leverage effects, volatility …

Persistent link: https://www.econbiz.de/10015358888

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://www.econbiz.de/10015371777

How risk spillover network structure affects VaR : a study using complex networks and quantile regression

Xi, Xian; Gao, Xiangyun; Zhong, Weiqiong - In: International review of economics & finance : IREF 98 (2025), pp. 1-11

Persistent link: https://www.econbiz.de/10015332825

Can environmental variables predict cryptocurrency returns? : evidence from Bitcoin, Ethereum, and Tether using a Time-Varying Coefficients Vector Autoregression model

Touhami, Kamel; Abidi, Ilyes; Nsaibi, Mariem; Mejri, Maissa - In: Risks : open access journal 13 (2025) 4, pp. 1-21

environmental factors remains underexplored. Using Dynamic Conditional Correlation GARCH (DCC-GARCH) and Time-Varying Coefficients …

Persistent link: https://www.econbiz.de/10015408403

Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach

Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024

adopted the recent DCC-GARCH-CONNECTEDNESS approach proposed by Gabauer (2020) to conduct a time-varying analysis that …

Persistent link: https://www.econbiz.de/10014533995

Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach

Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024

adopted the recent DCC-GARCH-CONNECTEDNESS approach proposed by Gabauer (2020) to conduct a time-varying analysis that …

Persistent link: https://www.econbiz.de/10014534437

Volatility and spillover analysis between cryptocurrencies and financial indices : a diagonal BEKK and DCC GARCH model approach in support of SDGs

Iuga, Iulia Cristina; Nerișanu, Raluca-Andreea; … - In: Cogent economics & finance 12 (2024) 1, pp. 1-36

and CRB Index). Employing the diagonal BEKK model and the DCC GARCH model, the study spans data from February 17, 2020, to … volatility impacts on green finance indices. Furthermore, the persistent correlations identified through the DCC GARCH model …

Persistent link: https://www.econbiz.de/10015192299

Navigating crises : Gold's role as a safe haven for US sectors

Kinateder, Harald; Gurrib, Ikhlaas; Choudhury, Tonmoy - In: Finance research letters 69 (2024) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10015192874

Should South Asian stock market investors think globally? : investigating safe haven properties and hedging effectiveness

Gazi, Md. Abu Issa; Nahiduzzaman, Md.; Sarker, Sanjoy Kumar - In: Economies : open access journal 12 (2024) 11, pp. 1-32

In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan, and Sri Lanka. The increasing integration...

Persistent link: https://www.econbiz.de/10015197820