We reveal the macroeconomic determinants of dynamic correlations between three global asset markets: equities, real estate, and commodities. Conditional equicorrelations, computed by GJR-GARCH-DECO model, are explained macro-financial proxies economic policy financial uncertainty, credit conditions, activity, business consumer confidence, geopolitical risk. Our results suggest that elevated cro...

Pressure overload is a common pathological insult to the heart and the resulting hypertrophy is an independent risk factor for sudden cardiac death. Gap junction remodeling (GJR) has been described in hypertrophied hearts; however, a detailed understanding of the remodeling process and its effects on impulse propagation is lacking. Moreover, there has been little progress developing therapeutic...

The analysis and prediction of systemic financial risks in the US during COVID-19 pandemic is great significance to stability markets even world. This paper aims predict risk before by using copula–GJR–GARCH models with component expected shortfall (CES), also identify systemically important institutions (SIFIs) for two comparative periods. empirical results show that overall increased after ou...

this paper investigates the asymmetry in volatility of returns for the iranian stock market using the daily closing values of the tehran exchange price index (tepix) covering the period from march 25, 2001 to july 25, 2012, with a total of 2743 observations. to this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric garch (1,1) model. the...

Asimetrik volatilite kavramı, aynı boyuttaki negatif fiyat değişimlerinin pozitif değişimlerine göre koşullu varyans üzerinde daha etkin olması olarak tanımlanabilir. Bu durum finansal piyasaların yapısal bir özelliği kabul edilmektedir. Diğer taraftan kriz ve belirsizlik dönemlerinde asimetrik etkisinin belirginleştiği yönünde bulgular da vardır. çalışmada Covid-19 kaynaklı krizin uluslararası...