dynamic conditional correlation
A scalar dynamic conditional correlation model : structure and estimation
... the dynamic properties of two or more asset ...Constant Conditional Corre- lation (CCC) model of Bollerslev (1990), the Dynamic Conditional Correlation (DCC) model of Engle (2002) and ...
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Forecasting Time Varying Correlation using the Dynamic Conditional Correlation (DCC) Model
... the dynamic relationships is necessary to estimate and forecast correlations of returns through ...Engle’s dynamic conditional correlation (DCC) model is compared with other models of ...the ...
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What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?
... The dynamic conditional correlation (DCC) model of Engle (2002) and its extensions are widely used in the volatility literature and some of its applications in finance have been made by Manera, et ...
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Dynamic Conditional Correlation between Electricity, Energy (Commodity) and Financial Markets during the Financial Crisis in Greece
... and correlation structure between electricity, finan- cial and energy commodity ...in correlation patterns among these markets and links the changes to both fundamentals and regulatory conditions prevailing ...
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Dynamic conditional correlation analysis of foreign exchange market contagion during subprime crisis
... Russiavia Dynamic conditional correlation multivariate ...mean Dynamic conditional correlation multivariate GARCH increase in financial compared the pre-crisis ...
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Modelling crude oil petroleum products’ price nexus using dynamic conditional correlation GARCH models
... incorporated dynamic conditional correlation were observed to have the least loss of information in comparison with the GARCH model variants that incorporated constant conditional ...with ...
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An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
... in conditional volatility of equity index returns while bond index returns have little evidence of this ...same dynamic condition for the ...Block Dynamic Conditional Correlation (BDCC) ...
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A local dynamic conditional correlation model
... local dynamic conditional correlation model is proposed for simultaneously modelling these ...and conditional correlations are jointly estimated by multivariate kernel ...
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Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises
... lagged dynamic conditional correlations effects ( ) on current dynamic conditional ...Constant Conditional Correlation(CCC) ...the dynamic correlations revolve around a ...
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Elliptical Copulae with Dynamic Conditional Correlation
... t copula can still be a workable dependence structure. Subtly specifying dependence higher than second-moments, such as variance-covariance, requires a huge amount of data and also introduces much more parameter ...
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Africa Stock Markets Cross-Market Linkages: A Time-Varying Dynamic Conditional Correlations (DCC-GARCH) Approach
... (2002)’s Dynamic Conditional Correlation multivariate generalized autoregressive conditional heteroscedasticity model was adapted to explore the time-varying conditional correlations to ...
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A Dynamic Measure of Intentional Herd Behavior in Financial Markets
... a dynamic measure of intentional herding, causing the excess volatility or even systemic risk in financial markets, which is based on a new concept of cumulative returns in the same direction as well as the ...
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Cointegration and conditional correlations among German and Eastern Europe equity markets
... The objective of this study is to examine the long-run relationship between several CEE and German equity markets and estimate time-varying correlations among these markets. We use daily closing prices of German and the ...
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A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion
... a Dynamic Conditional Correlation (DCC) model, first introduced by Engle ...the dynamic correlations belonging to each subsamples and then performing a classical t-test for mean differences, ...
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Contagion between United States and european markets during the recent crises
... the dynamic conditional correlation model ...in dynamic US-EU correlation, a Markov switching model is fitted, using as input variables the macroeconomic ones as- sociated with the ...
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An empirical examination of stock market integration in EMU
... run dynamic causal linkages across the stock markets, the recently developed tests of Generalized Impulse Response Functions (GIRFs) and Generalized Forecast Error Variance Decompositions (GFEVDs) developed by ...
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Estimation of Volatility and Correlation with Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models: An Application to Moroccan Stock Markets
... and correlation are important metrics of risk evaluation for financial markets ...autoregressive conditional heteroskedasticity (GARCH) models were developed for this purpose and have known a great ...
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The Co-movement between Output and Prices: Evidence from Iran
... of conditional heteroskedasticity in the output and price series, it is only natural to take this feature into account when estimating their conditional ...their correlation using Engle’s (2002) ...
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AN EMPIRICAL STUDY ON PRICE-VOLUME RELATIONSHIP OF FIRM SIZE INDICES USING THE DCC-GARCH MODEL
... the dynamic conditional correlation between the two series of rate of returns and rate of change in trading volume has a high stability, and is even more stable after the financial ...of ...
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Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
... Abstract. We propose semi-parametric CUSUM tests to detect a change point in the cor- relation structures of non–linear multivariate models with dynamically evolving volatilities. The asymptotic distributions of the ...
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