Retraction notice to “On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model”
نویسندگان
چکیده
منابع مشابه
The dependence structure analysis among gold price, stock price index of gold mining companies and Shanghai composite index
This paper used different copula-based GARCH models (Copula-GARCH model and Copula-GJR-GARCH model) to analyze the dependence structure among gold price, stock price index of gold mining companies and Shanghai Composite Index in China. The empirical results found that the suitable margins were skew-t distribution, and the GJR-GARCH marginal distribution had better explanatory ability than the G...
متن کاملThe Impact of Oil and Gold Prices’ Shock on Tehran Stock Exchange: A Copula Approach
There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Exchange market (TSE). Oil and gold are two factors that are essential for the ...
متن کاملconditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Modeling the Dependency Structure between Stocks of Chemical Products Return, Oil Price and Exchange Rate Growth in Iran; an Application of Vine Copula
The main objective of this study is modeling the dependency structure between the returns of oil markets, exchange rate and stocks of chemical products in Iran. For this purpose, the theory of Vine Copula functions is used to investigate the dependency structure. In addition to consider a linear relationship between financial markets in Iran, the nonlinear dependency structure of these markets ...
متن کاملNoncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates
This paper introduces a noncausal autoregressive process with Cauchy errors in application to the exchange rates of the Bitcoin electronic currency against the US Dollar. The dynamics of the daily Bitcoin/USD exchange rate series displays episodes of local trends, which can be modelled and interpreted as speculative bubbles. The bubbles may result from the speculative component in the on-line t...
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ژورنال
عنوان ژورنال: Energy Economics
سال: 2020
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2020.105019