ARTICLES

Filter  
Active filters 0
Remove
  

Refine your searches by:

Collections
Economy
Public health
Medicine / Sub specialtie
Research
Social Sciences
Agronomy and forestry
Education
Administration - Business
Food and nutrition
Biology
all records (70)

Languages
English
Portuguese
Spanish
German
French

Countries
Indonesia
USA
Brazil
South Africa
Italy
Spain
Switzerland
Tunisia
Ukraine
Pakistan
all records (67)

Years
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
all records (24)

Filter  
 
4.010  Articles
1 of 401 pages  |  10  records  |  more records»
AbstractThe purpose of this investigation is to propose a multivariate volatility model that takes into consideration time varying volatility and the property of the a-stable sub-Gaussian distribution to model heavy tails. The principal assumption is that... see more

In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical mu... see more

This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VARM... see more

Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Beberapa metode pengukuran VaR mengasumsikan return berdistribusi normal dan ukuran dependensi antar saham menggunakan korelasi linear. Faktanya, asumsi nor... see more

We study the dynamics, volatilities, and interrelations of the Mexican (MME), Brent and WTI oil returns with twelve multivariate GARCH models. The main results suggest that: 1) The volatility of MME is bigger than the one of the WTI but smaller than the o... see more

We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the th... see more

This article examines empirically the behavior of the correlation between the return of shares listed on the BMF& BOVESPA over the period from 2000 to 2015. To this end, we use multivariate GARCH models introduced by Bollerslev (1990) to remove the tempor... see more

In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the dail... see more

Price volatility of stocks is an important issue in stock markets. It should also be taken into account that the stochastic nature of volatility affects decision-makers’ minds to a great extent. Therefore, predicting price volatility could help them make ... see more

1 of 401 pages  |  10  records  |  more records»