Search Results - subject:"dynamic conditional correlations"

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

Cholesky GAS models for large time-varying covariance matrices

Zheng, Tingguo; Ye, Shiqi - In: Journal of management science and engineering 9 (2024) 1, pp. 115-142

This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices, called Cholesky generalized autoregressive score (GAS) models, which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are score-driven....

Persistent link: https://www.econbiz.de/10014504757

Macroprudential and monetary policy interactions and coordination in South Africa : evidence from business and financial cycle synchronisation

Malibongwe Cyprian Nyati; Muzindutsi, Paul-Francois; … - In: Economies : open access journal 11 (2023) 11, pp. 1-23

for the measurement of composite indices, while both the dynamic conditional correlations and asymmetric generalised … dynamic conditional correlations models were adopted for synchronisation analysis, together with the Metcalfe scale of …

Persistent link: https://www.econbiz.de/10014463239

Large dynamic covariance matrices: Enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10013164130

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Persistent link: https://www.econbiz.de/10013040932

Are Islamic investments still safe assets during the COVID-19 pandemic?

Khan, Ashraf; Piserà, Stefano; Chiaramonte, Laura; … - In: Review of financial economics : RFE 40 (2022) 3, pp. 281-299

Persistent link: https://www.econbiz.de/10013331031

Examining the dependence structure between carry trade and equity market returns in BRICS economies

Makhanya, Kabelo Collen; Bonga-Bonga, Lumengo; … - In: International economic journal 38 (2024) 2, pp. 365-384

Persistent link: https://www.econbiz.de/10014577873

Foreign investors, rebalancing trades, and increases in U.S.-Japan stock market correlations

Imai, Hiroyuki; Kim, Jong-Min - In: Applied economics 56 (2024) 47, pp. 5634-5649

Persistent link: https://www.econbiz.de/10015051126

Do climate risks affect dirty-clean energy stock price dynamic correlations?

Di, Li; Wu, Zhige; Tang, Yixuan - In: Energy economics 136 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015046688

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Said, Amira; Ouerfelli, Chokri - In: The Journal of Risk Finance 25 (2024) 3, pp. 443-470

Purpose This paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized autoregressive conditional...

Persistent link: https://www.econbiz.de/10015352409