Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 15 of 15 for “"Dynamic Conditional Correlation"”.
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A new approach to calculate and forecast dynamic conditional correlation - the use of a multivariate heteroskedastic mixture model
… little is devoted to modelling time varying correlation. In this research, we extend the current literature on correlation modelling by reviewing existing time-series tools, performing empirical analysis and developing two new conditional heteroscedastic models based on mixture techniques. …
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A multivariate GARCH model for the non-normal behaviour of financial assets
This thesis extends the dynamic conditional correlation (DCC) model proposed in Engle (2002) to the case of conditional returns supposed to follow an asymmetric multivariate Laplace (AML) distribution as presented in Kotz, Kozubowsky and Podgorski (2003). We prove that maximum likelihood estimator …
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Refining Value-at-Risk estimates: An Extreme Value Theory Approach
… estimation using (1) Multivariate GARCH Dynamic Conditional Correlation volatility model with skewed Student’s-t distributions, (2) Bayesian GARCH model with Student’s-t distribution, and (3) Bayesian Markov-Switching GJR-GARCH model with skewed Student’s-t distributions, incorporating …
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Stock Market Interdependence and Contagion between Asian Emerging Markets and the World Market
<p>This dissertation uses simple correlation coefficients and dynamic conditional correlation (DCC) coefficients to evaluate stock market interdependence and contagion between Asian emerging stock markets and the world stock market, as well as among Asian emerging stock markets themselves from 1995 …
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Analyzing frequent acquires in emerging markets and futures markets linkage
… nations, using Vector Autoregressive (VAR)-Dynamic Conditional Correlation (DCC) model. The data comprise a large set of commodity and financial futures traded in U.S., U.K., China, Japan, Canada, and Brazil during the period from August 1998 to December 2008. The primary finding is that …
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Die Kapitalstruktur europäischer Emittenten von bedingten Pflichtwandelanleihen im Bankensektor: eine robuste Korrelationsund Portfoliooptimierungsanalyse mit besonderer Berücksichtigung der Wavelet-Analyse und von Bayesschen Netzen
… The robust estimation procedures focus on the correlation of returns and are based on the Wavelet Analysis and on Bayesian Nets. The estimation results will feature rolling and extending sample windows and be implemented in a standard mean-variance optimisation algorithm to construct optimal …
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Range-based Volatility Modelling, Forecasting and Spillovers
… estimators, including the vanilla and asymmetric conditional autoregressive range(CARR) model, the simple, component and fractionally integrated range-based exponential generalised autoregressive conditional heteroscedasticity (REGARCH) models, and the cyclical model. I assess the performance of …
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Applications of Random Matrix Theory to Portfolio Management and Financial Networks
… the RMT approach to clean measurement noise from correlation matrices constructed for large portfolios of stocks of the FTSE 100. We apply this methodology to a number of correlation estimators, i.e., the sample correlation matrix, the Constant Conditional Correlation Model (CCC) of Bollerslev …
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Essays on the empirical analysis of volatility transmission in petroleum markets
… focus of this thesis will be on explaining the dynamic interdependencies in petroleum markets and further demonstrate whether the existence of such interdependencies prompt for the need to assess risk differently, by which this thesis contributes to the existing economic or econometric theories …
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Robust time-varying functional connectivity estimation and its relevance for depression
… that looks at changes in functional coupling (correlation between time series) between brain regions during a functional magnetic resonance imaging (fMRI) scan, and how it can be used as a lens through which to study depression as a functional disorder. Unfortunately, the field of TVFC is still …
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Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data
… term structure of risk with both static and dynamic conditional correlation. The results suggest that copula models for two-dimensional data and vine copula models for five, seven and fifteen-dimensional data provide a good fit and accurately and efficiently forecast the expected shortfall as …
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Essays on currency carry trade in Africa’s emerging and frontier markets
… trade returns using generalised autoregressive conditional heteroskedasticity (GARCH) models. Finally, the study investigates the relationship or the information transmission mechanism between returns of the African currency carry trade and the returns of its respective Stock Markets. Different …
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Empirical Analysis of Time-Varying Cross-Border Correlation and Spillover Risk.
… three papers analysing time-varying cross-border correlation and spillover risk. Existing literature has devoted significant resources to quantify these two types of risk within a variety of markets and asset classes. The implications of these studies have great importance in policy making, …
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Financial contagion in emerging markets evidence from BRICS countries
… (iii)To examine the presence of time-varying conditional correlations in BRICS’ equity market returns, in the wake of the financial crises that took place in the U.S. and Eurozone countries, and (iv) To investigate the presence of time-frequency correlations in BRICS stock markets, following …
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Market Efficiency and Volatility Spillovers in the Amman Stock Exchange: A Sectoral Analysis
… applied the multivariate General Autoregressive Conditional Heteroscedasticity (GARCH) model to test for time-varying variance and correlations between sectoral index returns in the ASE. This thesis tries to fill this gap in the literature by investigating market efficiency in the ASE using the …