As an important financial instrument in real market, the selection and management of portfolio has always been a significant hot issue field economics. This study collects data stocks daily returns US stock market to test whether DCC-GARCH model can improve performance return compared with original static when assumption fixed covariance matrix is relaxed. also compares improved that S&P500...

Abstract The availability of potable water is a challenging issue for many Asian countries where economies are still expanding and the population growing. It not difficult to observe that scarcity will become far worse, sooner rather than later. In this study, we investigate relationships among indices in five markets (namely China, Hong Kong, Japan, Philippines Singapore) sample period 2005–20...

This research investigated the performance of a dynamic portfolio that consists sustainable/ethical stocks and gold. The main purpose this study is to prove inclusion gold in portfolios could produce better performance. Therefore, method used research, DCC-GARCH, was relaxing basic assumptions theory modern under assumption normality stock return securities would have constant correlation. data...

This paper analyzes the co-movements of prices fossil fuels, energy stock markets and EU allowances. analysis is conducted in order to identify spillover effect volatility correlation among these financial markets, provide a scientific basis that shows interest incorporating sustainable assets design minimum risk strategies investment. To achieve this goal, we have used Vector Autoregressive-Dy...

The time-varying spillover effect of China’s crude oil futures market and new energy has an important impact on promoting the green development economy. This study uses dynamic connectedness method based DCC-GARCH model to analyze effects between Shanghai various industries in markets. results show that there was a stable volatility correlation high degree stock market. vehicle storage were dri...

Bu çalışmada, MSCI Tüm Ülkeler Dünya Endeksi (ACWI) ile MINT ülkelerinin (Meksika, Endonezya, Nijerya ve Türkiye) borsa endeksleri arasındaki entegrasyon ilişkisi karşılaştırması incelenmiştir. 02 Ekim 2011-10 2021 dönemini kapsayan piyasalar arası entegrasyonu ölçmek için haftalık veriler kullanılarak DCC GARCH modeli Johansen eşbütünleşme testi uygulanmıştır. İlk olarak, iki değişkenli kullan...

Biopharmaceutical companies are critical in developing vaccines, treatments, and diagnostics for COVID-19. Thus, understanding the contagion effects of their stock market can have important economic implications, especially context global financial markets. Due to COVID-19 pandemic, biopharmaceutical companies’ markets may experienced sudden volatility risk changes, which had spillover on other...

modeling dependence structure in financial economics is of paramount importance when estimating portfolio’s value at risk, since risk of an asset in addition to its own behavior is also dependent on the behavior of other assets in the portfolio. application of joint distribution copula is one of the methods for incorporation dependence at lower and upper tail of returns’ distribution in financi...