Search Results

Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches,
Siok Jin Lim and Abul Masih, from University Library of Munich, Germany (2017)
Keywords: Islamic stocks, Bitcoin, portfolio diversification, MGARCH-DCC, Wavelets

Islamic equity as an alternative investment from the perspective of the Southeast Asian investors: evidence from MGARCH-DCC and Wavelet Coherence,
Suwijak Suwanhirunkul and Abul Masih, from University Library of Munich, Germany (2018)
Keywords: portfolio diversification, Islamic equity, MGARCH-DCC, Wavelet coherence, Southeast Asia

The Impact of Brexit on Islamic Stock Markets Employing MGARCH-DCC and Wavelet Correlation Analysis,
Burak Cikiryel and Abul Masih, from University Library of Munich, Germany (2017)
Keywords: Brexit, Islamic stock markets, MGARCH-DCC, CWT, MODWT

Time-varying correlation between islamic stock indices: evidence from the GCC countries based on MGARCH-DCC approach,
Mona Yousef and Abul Masih, from University Library of Munich, Germany (2017)
Keywords: Islamic stock indices, GCC, time-varying correlation, MGARCH-DCC

Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis,
Mohammed Mahmoud Mantai and Abul Masih, from University Library of Munich, Germany (2016)
Keywords: Shariah, Screening Methodology, Islamic Indices, MGARCH-DCC, Markov Switching

Analyzing Spillover Effects Among BRICS Stock Markets: Application of Copula and DCC-MGARCH Model,
Naliniprava Tripathy and Pradiptarathi Panda, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2023)
Keywords: BRICS, Copula model, DCC-MGARCH model, Diebold and Yilmaz, portfolio diversification

Research on Dynamic Correlation Between A&B Stock Index of Shanghai and Shenzhen Exchange Based on DCC-MGARCH Model,
Jin-fang Tian and Wen-jing Wang, from Springer (2013)
Keywords: DCC-MGARCH, A&B stock index, Dynamic correlation

Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach,
Dahiru A. Balaa and Taro Takimotob, in Borsa Istanbul Review (2017)
Keywords: Stock markets volatility; CCC-MGARCH; Spillover; BEKK-MGARCH; DCC-with-skewed-t; Financial crises

Impact of Brexit on Islamic stock markets: employing MGARCH-DCC and wavelet correlation analysis,
Burak Çıkıryel, Hakan Aslan and Mücahit Özdemir, in International Journal of Islamic and Middle Eastern Finance and Management (2021)
Keywords: Islamic finance, Wavelet correlation, Brexit, MGARCH-DCC, C58, G15, G11, Z12, C22

A study of the interactive relationship between oil price and exchange rate: A copula approach and a DCC-MGARCH model,
Angham ben Brayek, Saber Sebai and Kamel Naoui, in The Journal of Economic Asymmetries (2015)
Keywords: E44; C22; keywords; Copulas; DCC-MGARCH; Dependence measures; Crude oil price; U.S. dollar exchange rates;

Do ‘Sin Stocks’ Deprive Islamic Stock Portfolios of Diversification? Some Insights from the Use of MGARCH-DCC,
Nazrol Kamil Mustaffa Kamil, Obiyathulla Bacha and Abul Masih, in Capital Markets Review (2012)
Keywords: Portfolio diversification, Shari’ah compliant portfolios, Islamic stocks, Islamic capital market, MGARCH, dynamic conditional correlation (DCC)

Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models,
Chaofeng Tang and Kentaka Aruga, in Sustainability (2021)
Keywords: fossil fuel; COVID-19 pandemic; clean energy; gold; Bitcoin; Bayesian DCC-MGARCH models

Return volatilities and contagion transmission between Islamic and conventional banks throughout the subprime crisis: evidence from the DCC-MGARCH model,
Mohamed Fakhfekh and Nejib Hachicha, in International Journal of Managerial and Financial Accounting (2014)
Keywords: Islamic banks; conventional banks; financial crisis; DCC-MGARCH; return volatilities; contagion transmission; Islamic finance; subprime crisis; financial crisis.

The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches,
Ahmad Monir Abdullah, Buerhan Saiti and Abul Masih, in Borsa Istanbul Review (2016)
Keywords: Commodity; Islamic stock index returns; MODWT; CWT; MGARCH-DCC; Diversification; Causality; South East Asia 1. Introduction

Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations,
Karel Janda, Ladislav Krištoufek and Binyi Zhang, from Prague University of Economics and Business (2022)
Keywords: Clean energy, Oil, Technology, Stock prices, VAR-MGARCH

An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT Wavelet approaches,
Thaqif Kamaruzdin and Abul Masih, from University Library of Munich, Germany (2014)
Keywords: Islamic Finance, Islamic Financial Services Institutions, Volatility, Risk, Correlation, Diversification, M-GARCH t-DCC and MODWT Wavelet

Dynamic conditional relationships between developed and emerging markets,
Wonho Song, Sung Y. Park and Doojin Ryu, in Physica A: Statistical Mechanics and its Applications (2018)
Keywords: Financial market; Global financial crisis; Information spillover; Macroeconomic variables; Overseas shock; VAR-DCC-MGARCH;

Covid-19 and the Technology Bubble 2.0: Evidence from DCC-MGARCH and Wavelet Approaches,
Caner Özdurak and Cengiz Karataş, in Journal of Applied Finance & Banking (2021)
Keywords: Dot-com crisis, tech bubble, DCC-GARCH, FAANG, Wavelet.

Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis,
Dhaifina Dwihasri and Abul Masih, from University Library of Munich, Germany (2015)
Keywords: Islamic stocks, portfolio diversification, MGARCH-DCC, Wavelets

Dynamic connectedness in non-ferrous commodity markets: Evidence from India using TVP-VAR and DCC-GARCH approaches,
Aswini Kumar Mishra and Kshitish Ghate, in Resources Policy (2022)
Keywords: TVP-VAR; DCC-GARCH; Spillover; Dynamic connectedness; Commodity; India;

[Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC,
Jules Sadefo Kamdem, in Insurance: Mathematics and Economics (2009)
Keywords: Capital allocation Dynamic volatility Risk management Solvency II VaR TVaR MGARCH Mixture of elliptic distributions

Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches,
Bai Chen and Abul Masih, from University Library of Munich, Germany (2017)
Keywords: MGARCH; Wavelet; PLS; Islamic profit rate; Murabahah; Mudarabah; LIBOR

Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH,
Giovanny Sandoval Paucar, from University Library of Munich, Germany (2019)
Keywords: : propagación de choques financieros, MGARCH, mercados financieros colombianos

Comovement between crude oil prices and shariah stock indices: MGARCH-DCC and wavelet analysis,
Abdul Halim and Abul Masih, from University Library of Munich, Germany (2017)
Keywords: Shariah stock prices, crude oil prices, portfolio diversification, MGARCH, Wavelets

A generalized VECM/VAR-DCC/ADCC framework and its application in the Black-Litterman model,
Qi Deng, in China Finance Review International (2018)
Keywords: VAR, VECM, Portfolio optimization, DCC, ADCC, Black-Litterman (BL), C32, C53, G11

Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach,
Yufeng Chen, Biao Zheng and Fang Qu, in Resources Policy (2020)
Keywords: Volatility spillovers; Asymmetric VAR-BEKK (DCC)-GARCH model; Oil price; Rare earth; New energy;

Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach,
Pilar Gargallo, Luis Lample, Jesús A. Miguel and Manuel Salvador, in Mathematics (2021)
Keywords: climate change; EU ETS; energy markets; VAR-DCC-GARCH; impulse response analysis; minimum risk portfolio

Volatility Spillovers Between Oil and Stock Market Returns in G7 Countries: A VAR-DCC-GARCH Model,
Göknur Büyükkara, Onur Enginar and Hüseyin Temiz, from Springer (2020)
Keywords: Volatility spillover, VAR-DCC-GARCH, OPEC oversupply, Stock market, Oil market

Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC,
Gamal Salih Omer and Abul Masih, from University Library of Munich, Germany (2014)
Keywords: conditional volatility and correlations of Islamic assets, forecast, MGARCH-DCC

Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test,
Massimiliano Caporina and Michele Costola, from Leibniz Institute for Financial Research SAFE (2021)
Keywords: Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19

Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas,
Felipe A. de Oliveira, Sinézio F. Maia, Diego P. de Jesus and Cássio Besarria, in The North American Journal of Economics and Finance (2018)
Keywords: DCC; GARCH-BEKK; t-Copulas; Spillover; Market risk;

Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test,
Massimiliano Caporin and Michele Costola, in Energy Economics (2022)
Keywords: Granger causality; Hong test; DCC-GARCH; Oil market; COVID-19;

Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches,
Adam Mohamed Rahim and Abul Masih, from University Library of Munich, Germany (2014)
Keywords: Shari’ah (Islamic) stock indices, Diversification benefits, Trading partners, M-GARCH, Wavelet analysis, MODWT, CWT

Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches,
Adam Mohamed Rahim and Abul Masih, in Economic Modelling (2016)
Keywords: Shari'ah (Islamic) stock indices; Diversification benefits; Trading partners; M-GARCH; Wavelet analysis; MODWT; CWT;

Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis,
Bilal Ilhan and Abul Masih, from University Library of Munich, Germany (2014)
Keywords: International Portfolio Diversification, Euro Zone Islamic Stock Market Investments, M-GARCH/DCC, Wavelet analysis, CWT, MODWT

Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet coherence approaches,
Abdul Aziz Buriev and Abul Masih, from University Library of Munich, Germany (2015)
Keywords: Arab uprisings, portfolio diversification, MGARCH-DCC, Wavelet Coherence

The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models,
Virginie Terraza, Aslı Boru İpek and Mohammad Mahdi Rounaghi, in Financial Innovation (2024)
Keywords: Bitcoin market, Gold market, American stock markets, COVID-19 pandemic, VAR-DCC-EGARCH model, ANN model

The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models,
Virginie Terraza, Aslı Boru İpek and Mohammad Rounaghi, from HAL (2024)
Keywords: JEL Classification: C22 C58 G17 Bitcoin market Gold market American stock markets COVID-19 pandemic VAR-DCC-EGARCH model ANN model,JEL Classification: C22,C58,G17 Bitcoin market,Gold market,American stock markets,COVID-19 pandemic,VAR-DCC-EGARCH model,ANN model

Contagion between Islamic and Conventional Banking: A GJR DCC-GARCH and VAR Analysis,
Mohamed Amin Chakroun and Mohamed Gallali, in International Business Research (2016)
Keywords: This study aims testing the presence of contagion through Islamic and conventional banking systems during the subprime crisis. Specifically, we examine how far a shock striking conventional or Islamic banks is exported from one group to another or remain limited. Therefore, we adopt a GJR DCC-GARCH model to study the dynamic conditional correlation and the vector auto-regression VAR model in order to identify causality direction and the impact of a shock on the returns of each banking index. Hence, our results indicate that Islamic banks are not isolated from conventional banks while there is a contagion phenomenon between these two financial systems. Furthermore, we determined that during the crisis, Islamic banks could not absorb this effects and ensure stability because these banks were also affected by the crisis.

Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses,
Chikashi Tsuji, in Economic Modelling (2018)
Keywords: DCC model; MGARCH model; Leverage effect; Oil equities; Oil futures; Return transmission; Skew-t errors; Spillovers;

Volatility Contagion of Stock Returns of Microfinance Institutions in Emerging Markets: A DCC-M-GARCH Model,
Roberto Alejandro Ramírez-Silva, Salvador Cruz-Aké and Francisco Venegas-Martínez, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2018)
Keywords: Microfinance institutions; volatility of returns; GARCH and M-GARCH models; Dynamic Conditional Correlation (DCC)

The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis,
Ramazan Yildirim and Abul Masih, from University Library of Munich, Germany (2014)
Keywords: MGARCH-DCC, MODWT, Continuous Wavelet Transform CWT, Contagion, Volatility Spillover, Shariah Indices

Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management,
Yuan-Hung Hsu Ku, in Applied Economics (2008)

The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model,
Muneer Shaik and Mohd Ziaur Rehman, in Asia-Pacific Financial Markets (2023)
Keywords: ESG stock indices, DCC-GARCH, Volatility connectedness, Spillover, VAR

CRYPTOCURRENCY, PROFITABILITY, AND TWEETER: A MGARCH FRAMEWORK,
Jo-Hui Chen, Sabbor Hussain and Yun-Chen Cheng, in Global Economy Journal (GEJ) (2021)
Keywords: MGARCH, cryptocurrency, mining profitability, tweets

Copula-MGARCH with continuous covariance decomposition,
Helmut Herwartz and Fabian H.C. Raters, in Economics Letters (2015)
Keywords: Copula; MGARCH; Covariance decomposition; Value-at-Risk;

Estimation of C-MGARCH models based on the MBP method,
Lihui Li and Tao Wen, in Statistics & Probability Letters (2013)
Keywords: MGARCH models; Copula; MBP; MMBP;

New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries,
Chikashi Tsuji, in Applied Energy (2018)
Keywords: DCC model; International oil equities; Leverage effect; MGARCH model; Oil futures; Optimal hedge ratios; Return transmission; Skew-t errors; Volatility spillovers;

Market linkages and conditional correlation between the stock markets of South and Central America,
Ajaya Kumar Panda and Swagatika Nanda, in Journal of Financial Economic Policy (2017)
Keywords: Financial markets and institutions, Cointegration, VAR, VECM, MGARCH-DCC, South and Central America Region, C32, G15, F3

Volatility Spillover from the Chinese Stock Market to the G20 Stock Markets in the Wake of the Pandemic COVID-19,
Sarika Lohana, Miklesh Prasad Yadav and A. G. Rekha, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2024)
Keywords: COVID-19 pandemic, DCC-MGARCH-VAR, Straits Times Index, G-20 stock market, financial contagion, spillover

Following the leaders? A study of co-movement and volatility spillover in BRICS currencies,
Suman Das and Saikat Sinha Roy, in Economic Systems (2023)
Keywords: BRICS; Exchange rate; Volatility; MGARCH–DCC model; Return co-movement; VAR-based spillover index;

Estimating Portfolio Value at Risk with GARCH and MGARCH models,
María Isabel Restrepo E., in Perfil de Coyuntura Económica (2012)
Keywords: Modelos GARCH, Modelos MGARCH, Valor en Riesgo

Evaluación del impacto del mercado de derivados en los canales de transmisión de la política monetaria en México: Metodologías VAR y M-GARCH,
Elisa Yamazaki Tanabe and José Carlos Ramírez Sánchez, in Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) (2010)
Keywords: Política Monetaria, Series de Tiempo, Modelos VAR, Modelos GARCH Multivariados

Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models,
Shelly Singhal and Sajal Ghosh, in Resources Policy (2016)
Keywords: Crude oil market; Stock market; Dynamic conditional correlation; VAR GARCH models;

Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis,
Paraskevi Katsiampa, Shaen Corbet and Brian Lucey, in Finance Research Letters (2019)
Keywords: Bitcoin; Ether; Litecoin; Volatility spillovers; BEKK-MGARCH;

Cross-market index with Factor-DCC,
Sofiane Aboura and Julien Chevallier, in Economic Modelling (2014)
Keywords: Cross-market index; Factor-DCC; Asset management;

Cross-market index with Factor-DCC,
Julien Chevallier and Sofiane Aboura, from HAL (2014)
Keywords: Cross-market index,Factor-DCC,Asset management

The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility: A Two-Stage DCC-EGARCH Model Analysis,
Apostolos Ampountolas, in JRFM (2023)
Keywords: COVID-19 outbreak; value-at-risk (VaR); Cornish–Fisher expansion; stock market indices; cryptocurrencies return; stock return; spillover effects; volatility; EGARCH; DCC-GARCH

RATS program to estimate various forms of DCC GARCH models,
Tom Doan, from Boston College Department of Economics
Keywords: ARCH-GARCH, DCC

Proxy-identification of a structural MGARCH model for asset returns,
Matthias Fengler and Jeannine Polivka, from Swiss Finance Institute (2024)
Keywords: identification, Riemannian optimization, structural MGARCH, structural modeling, variance decomposition, volatility spillovers

Proxy-identification of a structural MGARCH model for asset returns,
Matthias Fengler and Jeannine Polivka, from University of St. Gallen, School of Economics and Political Science (2024)
Keywords: identification, Riemannian optimization, structural MGARCH, structural modeling, variance decomposition, volatility spillovers

The dynamics of Australian stock indices and commodities based on MGARCH-DCC and wavelet techniques,
Ahmad Monir Abdullah, Hishamuddin Abdul Wahab, Mohd Fahmi Ghazali, Mohd Hasimi Yaacob and Abul Mansur Mohammed Masih, in Cogent Business & Management (2022)

Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model,
António Portugal Duarte, João Andrade and Adelaide Duarte, from GEMF, Faculty of Economics, University of Coimbra (2015)
Keywords: Credibility, disinflation, M-GARCH, volatility and target zones.

ESG investments, bear periods and adaptive resilience: evidence from India using a DBEKK‑MGARCH,
Md Zulquar Nain, Sajad Ahmad Bhat and Javed Ahmad Bhat, in Journal of Social and Economic Development (2023)
Keywords: Sustainable investment, Excess return, Risk, MGARCH, India

Limpahan Kemeruapan dan Korelasi Dinamik Kadar Pertukaran di ASEAN-5,
Mori Kogid, Abu Hassan Shaari Mohd Nor and Tamat Sarmidi, in Jurnal Ekonomi Malaysia (2015)
Keywords: ASEAN-5, BEKK, DCC, MGARCH, exchange rate

An Empirical Study of Volatility in Cryptocurrency Market,
Hemendra Gupta and Rashmi Chaudhary, in JRFM (2022)
Keywords: volatility; cryptocurrency; GARCH; MGARCH; DCC GARCH; EGARCH

The dynamic correlation between policy uncertainty and stock market returns in China,
Miao Yang and Zhi-Qiang Jiang, in Physica A: Statistical Mechanics and its Applications (2016)
Keywords: Policy uncertainty; Stock market returns; DCC-MGARCH;

Residual contagion in emerging markets: ‘herd’ and ‘alarm’ effects in informatization,
Min Fang, Shenggang Yang and Yuliang Lei, in Electronic Commerce Research (2021)
Keywords: Emerging markets, Residual contagion, Informatization, DCC-MGARCH

Diversification in Crude Oil and Other Commodities: A Comparative Analysis,
Ahmad Monir Abdullah, Buerhan Saiti and Abul Masih, from University Library of Munich, Germany (2014)
Keywords: Commodity, MODWT, CWT, DCC-MGARCH, Diversification, Causality

A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis,
Zdravka Aljinoviæ, Tea Šestanoviæ and Blanka Škrabiæ Periæ, in Journal of Economics / Ekonomicky casopis (2022)
Keywords: COVID-19, cryptocurrencies, CRIX, MGARCH-DCC, conditional correlations

On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach,
Omar Hemche, Fredj Jawadi, Samir Baha-Eddine Maliki and Abdoulkarim Idi Cheffou, in Economic Modelling (2016)
Keywords: Contagion; Subprime crisis; DCC–MGARCH model;

Correlation between Maltese and euro area sovereign bond yields,
Reuben Ellul Dimech, from University Library of Munich, Germany (2017)
Keywords: correlation, sovereign bond yields, MGARCH-DCC, Malta

MGARCH models: Trade-off between feasibility and flexibility,
Daniel de Almeida, Luiz Hotta and Esther Ruiz, in International Journal of Forecasting (2018)
Keywords: BEKK; CCC; DCC; GARCH models; Multivariate time series; Variance targeting; Volatility forecasting; VECH;

Estimating VAR-MGARCH models in multiple steps,
M. Angeles Carnero and Mustafa Eratalay, from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2012)

Estimating VAR-MGARCH models in multiple steps,
M. Angeles Carnero and Eratalay M. Hakan, in Studies in Nonlinear Dynamics & Econometrics (2014)
Keywords: financial markets, volatility spillovers

RATS program to demonstrate multivariate GARCH using 2-stage DCC,
Tom Doan, from Boston College Department of Economics
Keywords: Multivariate ARCH-GARCH, DCC model

Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach,
Tihana Škrinjarić and Šego Boško, in Business Systems Research (2016)
Keywords: Zagreb Stock Exchange, DCC and CCC GARCH, risk hedging, volatility

Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model,
Cengiz Toraman, Cagatay Basarir and Mehmet Fatih Bayramoglu, in Business and Economics Research Journal (2011)
Keywords: Gold Prices; Dow Jones Index; Oil Prices; MGARCH Model; CCC Model

Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification,
Jacek Osiewalski and Krzysztof Osiewalski, in Central European Journal of Economic Modelling and Econometrics (2016)
Keywords: Bayesian econometrics, multivariate volatility models, MGARCH processes, MSV processes, financial markets, commodity markets

A Study of the Machine Learning Approach and the MGARCH-BEKK Model in Volatility Transmission,
Prashant Joshi, Jinghua Wang and Michael Busler, in JRFM (2022)
Keywords: MGARCH-BEKK; GA 2 M ; machine learning; volatility spillovers robustness; cryptocurrency

GARCH Modelling of Conditional Correlations and Volatility of Exchange rates in BRICS Countries,
Smile Dube, in Journal of Applied Finance & Banking (2019)
Keywords: Correlations and Volatilities; MGARCH (Multivariate General Autoregressive Conditional Heteroscedasticity), Multivariate t (t-DCC), Kolmogorov-Smirnov test, Value at Risk (VaR) diagnostics, ML – Maximum Likelihood

Cross-market volatility index with Factor-DCC,
Sofiane Aboura and Julien Chevallier, in International Review of Financial Analysis (2015)
Keywords: Cross-market index; Factor-DCC; Volatility surprise; Asset management;

Value-at-Risk with Application of DCC-GARCH Model,
Tomas Meluzin, Marek Zinecker, Michal Pietrzak, Marcin Faldzinski and Adam Balcerzak, from Institute of Economic Research (2016)
Keywords: capital market, value-at-risk, backtesting, DCC-GARCH model, conditional variance

Cross-market volatility index with Factor-DCC,
Sofiane Aboura and Julien Chevallier, from HAL (2015)
Keywords: Volatility surprise,Factor-DCC,Asset management,Cross-market index

Revealing Asymmetric Spillover Effects in Hazelnut, Gasoline, and Exchange Rate Markets in Turkey: The VECM-BEKK-MGARCH Approach,
Emine Askan, Faruk Urak and Abdulbaki Bilgic, in Panoeconomicus (2022)
Keywords: Exchange rate, Energy market, Hazelnut market, Turkey, VECMBEKK- MGARCH

Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model,
António Portugal Duarte, João Andrade and Adelaide Duarte, in International Journal of Economic Sciences (2012)
Keywords: Credibility,, disinflation,, M-GARCH,, volatility and target zones, n/a

Time–Frequency Co-Movement of South African Asset Markets: Evidence from an MGARCH-ADCC Wavelet Analysis,
Fabian Moodley, Sune Ferreira-Schenk and Kago Matlhaku, in JRFM (2024)
Keywords: wavelet; MGARCH-ADCC; phase angle; asset markets; South Africa

VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR,
Tom Doan, from Boston College Department of Economics
Keywords: VAR

VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR,
Tom Doan, from Boston College Department of Economics
Keywords: VAR

VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR,
Tom Doan, from Boston College Department of Economics
Keywords: VAR