Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
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DOI: 10.1002/for.2648
Abstract: This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y ιlmaz (Journal… read more here.
Keywords: impulse response; volatility impulse; volatility; analysis ... See more keywords
Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas
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DOI: 10.1016/j.ecosys.2019.100717
Abstract: Abstract This study uses asymmetric DCC-GARCH models and copula functions to study exchange rate contagion in a group of twelve Asia-Pacific countries. Using daily data between November 1991 and March 2017, we show that extreme… read more here.
Keywords: exchange; asymmetric dcc; exchange rate; contagion ... See more keywords
Evaluating financial stress indicators: evidence from Indian data
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DOI: 10.1108/jfep-11-2019-0232
Abstract: Purpose The purpose of this study is to assess alternative financial stress indicators for India in terms of tracing crisis events, mapping with the business cycle and the macroeconomic effect of stress indices. Design/methodology/approach The… read more here.
Keywords: stress indicators; indicator; dcc garch; stress ... See more keywords
Variance Minimization Hedging Analysis Based on a Time-Varying Markovian DCC-GARCH Model
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DOI: 10.1109/tase.2019.2938673
Abstract: Considering time-varying transition probability (TVTP), this article combines Markov regime switching with a dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model to construct a new hedging model and study a state-dependent minimum variance hedging… read more here.
Keywords: model; garch model; dcc garch; time varying ... See more keywords