Global ETD Search
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Showing 1 to 5 of 5 for “"DCC-GARCH"”.
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On modelling volatility and mortality for pension schemes
… study of various advance multivariate DCC GARCH models which are used for construction of optimal portfolios in modelling asset return covariances. The effectiveness of using parametric copula in estimating portfolio risk measures are evaluated such that the DCC models are found to have …
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African stock markets: empirics of development, integration, efficiency and investor herd behaviour
… wavelet squared coherence analysis, multivariate DCC-GARCH analysis, and the cross-sectional absolute deviation (CSAD) modelling technique. The findings of this study have far-reaching implications: First, we conclude that both domestic (macroeconomic and institutional) and global factors drive …
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Three Essays on Fiscal Policy
… are used as a proxy for country risk by using a DCC-GARCH model. Then, at the second stage, time variant country betas are regressed on a set of macroeconomic, financial and political variables to distinguish the relative effects of each variable on country risk. Finally, a Kalman Filter approach …
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Empirical Analysis of Time-Varying Cross-Border Correlation and Spillover Risk.
… Data Sampling Dynamic Conditional Correlation GARCH (MIDAS-DCC GARCH) model to include a new scalar measure for the degree of correlatedness in time-varying correlation matrices. We also explore the robustness of the findings with a less model-dependent realized covariance estimator. We find a …
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Oil Price Movements and Equity Returns: Evidence from the GCC Countries
… the equity returns volatility requires using GARCH-type models. These models help to explore the pronounced differences of the conditional variance structures across sectors and markets. Chapter 1 compares the effects of changes in oil price return and its volatility on equity returns and …