The CCC-GARCH model, and its dynamic correlation extensions, form the most important model class for multivariate asset returns. For density portfolio risk forecasting, a drawback of these models is underlying assumption Gaussianity. This paper considers so-called COMFORT class, which but endowed with generalized hyperbolic innovations. novelty that parameter estimation conducted by joint maxim...

In order to study the two-way risk spillovers between financial and real industries under major public emergencies in Chinese market from 2007 2020, sample period of was determined based on value at (VaR) time series, it found that impact would lead rise systemic risks industry. Secondly, sectors are taken as main research object measure spillover by using DCC-GARCH, shows industry with signifi...

The Covid-19 pandemic has an impact on the world economy especially stock mar-ket, thus aim of this study is to determine whether there dynamic integration be-tween markets in Indonesia with capital market Asia and during pandemic. This uses return data from closing price 12 indices, namely ASX, DOWJONES, FTSE, HANGSENG, IHSG, KLSE, KOSPI, NIK-KEI, PSEI, SET, STI, TAIWAN January December 2020 t...

empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. that is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of var. copula theo...

Extant literature establishes co-movements among commodity (metal and oil) prices; whereas oil price/shocks aggregate, as a lone predictor, has relative predictability for most financial assets. We assess the of Baumeister Hamilton's (2019) decomposed shocks (economic activity shocks, consumption demand inventory supply shocks) conditional volatilities prominently traded precious metals (gold, ...