نتایج جستجو برای: dynamic conditional correlation
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a r t i c l e i n f o JEL classification: C32 C51 L94 Q40 Keywords: Wholesale spot electricity price markets Constant and dynamic conditional correlation Multivariate GARCH This paper examines the interrelationships of wholesale spot electricity prices among the four regional A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Dynamic c...
This paper proposes a new model for the dynamics of correlation matrices, where are driven by likelihood score with respect to matrix logarithm matrix. In analogy exponential GARCH volatility, this transformation ensures that matrices remain positive definite, even in high dimensions. For conditional distribution returns, we assume student-t copula explain dependence structure and univariate ma...
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...
interest as investment opportunity cost or in other words cost of obtaining the credit requirement in the production process, have a key role in the good's cost price and hence it's necessary to control this kind of variables that have harmful effects on the interest rate's trends. among this, the unexpected changes in some variables that can have destructive effects on interest ...
This paper examines the hedging effectiveness of gold futures for the stock market in minimizing variance and downside risks, including value at risk and expected shortfall using data from the Iran emerging capital market during four different sub-periods from December 2008 to August 2018. We employ dynamic conditional correlation models including VARMA-BGARCH (DCC, ADCC, BEKK, and ABEKK) and c...
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