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Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach

• Authors : Marcelo Brutti Righi; Paulo Sergio Ceretta

Subjects: Dynamic Portfolio; Risk Management; Copulas

• Source: Revista Brasileira de Finanças, Vol 10, Iss 4, Pp 529-550 (2012)

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BİST Şehir Endeksleri Oynaklığının DCCGARCH Model İle Analizi ; Analysis Of Bist City Indices Volatility With Dcc-Garch Model

• Authors : Davaslıgil Atmaca, Verda

Subjects: Şehir Endeksleri; Oynaklık; Çok Değişkenli GARCH

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Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach ; Evolução e Diversificação do Risco Global: uma Abordagem com Modelo Cópula-DCC-GARCH

• Authors : Righi, Marcelo Brutti; Ceretta, Paulo Sergio

Subjects: Dynamic Portfolio; Risk Management; Copulas

• Source: Brazilian Review of Finance; Vol. 10 No. 4 (2012): October - December; 529-550 ; Revista Brasileira de Finanças; v. 10 n. 4 (2012): Outubro-Dezembro; 529-550 ; 1984-5146 ; 1679-0731

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Understanding Dynamic Conditional Correlations between Oil, Natural Gas and Non-Energy Commodity Futures Markets.

• Authors : Behmiri, Niaz Bashiri¹ ; Manera, Matteo² ; Nicolini, Marcella³

• Source: Energy Journal. Mar2019, Vol. 40 Issue 2, p55-76. 22p.

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Calculating Value at Risk: DCC-GARCH-Copula Approach

• Authors : Reza Taleblou; Mohammad Mahdi Davoudi

Subjects: multivariate garch; value at risk; expected shortfall

• Source: فصلنامه پژوهش‌های اقتصادی ایران, Vol 25, Iss 82, Pp 43-82 (2020)

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Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey ; Kripto Para ve Borsalar Arasında Getiri ve Oynaklık Yayılımı: Türkiye'den Kanıtlar

• Authors : Ustaoğlu, Erkan

Subjects: Cryptocurrency; BIST; Multivariate GARCH

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A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET

• Authors : Andersson-Säll, Tim; Lindskog, Johan

Subjects: Multivariate GARCH; Conditional Correlations; Forecasting

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La modélisation de la dynamique des volatilités et des corrélations entre les prix des matières premières et les rendements boursiers

• Authors : Mestiri, Sami; Abdelghani, Sabrine;

Subjects: volatilities; dynamics of correlation; DCC-GARCH

• Source: https://hal.archives-ouvertes.fr/hal-03432761 ; 2021.

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Dynamic Correlation between Stock Market Returns and Crude Oil Prices: Evidence from a Developing Economy

• Authors : Emenike O. Kalu

Subjects: stock market; crude oil prices; volatility interdependence

• Source: Indonesian Capital Market Review, Vol 7, Iss 2, Pp 102-112 (2015)

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Understanding Dynamic Conditional Correlations between Commodities Futures Markets

• Authors : Behmiri, Niaz Bashiri; Manera, Matteo; Nicolini, Marcella

Subjects: ddc:330; Q42; Q11

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