This study considers the effects of the financial institutions’ local topology structure in the financial network on their systemic risk contribution using data from the Chinese stock market. We first measure the systemic risk contribution with the Conditional Value-at-Risk (CoVaR) which is estimated by applying dynamic conditional correlation multivariate GARCH model (DCC-MVGARCH). Financial n...

Çalışmanın temel amacı altının ölçülebilen risk algısının altın fiyatları üzerindeki volatilite yayılım etkisi araştırmaktır. Bu kapsamda çalışmada risk, spot ve vadeli endeksleri kullanılmıştır. Çalışmada 16.03.2011–03.09.2021 dönemine ait veriler kullanılarak faktörünün yayılımı çok değişkneli (Dynamic Conditional Correlations) DCC-GARCH modeli yardımıyla incelenmiştir. finansal varlıkların v...

Se analiza el contagio en volatilidad entre los mercados cambiarios y de valores México Brasil enero/2000 a noviembre/2020. La metodología incluye modelos GARCH univariados: GARCH, APARCH, EGARCH TARCH para análisis la las series multivariados GARCH: DCC ADCC, medir co-movimientos condicional del mercado capitales cambiario, permitiendo determinar existencia contagio. observa que, brasileño, co...

This article examines whether incorporating investors’ uncertainty, as captured by the conditional volatility of sentiment, can help forecasting stock markets. In this regard, using Markov-switching multifractal (MSM) model, we find that uncertainty substantially increase accuracy forecasts market according to forecast encompassing test. We further provide evidence MSM outperforms dynamic corre...

<p>This study aims to analyze the effect of oil price volatility, gold volatility and exchange rate on dynamic relationship between Indonesian United States capital market. The data used in this are daily closing prices oil, rates (USD/IDR) as well market (JKSE) (DJIA) composite indices during period January 2005 October 2020. This uses DCC-GARCH method calculate correlation two markets G...

Purpose –  In this study, It is aimed to examine and interpret the volatility interaction between some indexes operating in Borsa Istanbul VIX (Fear Index). Design/methodology/approach – daily income series of BIST 30, Corporate Governance, Industry, Trade, Insurance Leasing Factoring Indices Index), which are active Istanbul, constituting period 02.01.2015-31.12.2020 were used. . For return s...

The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened contagion in cryptocurrency market utilizing samples of data representing pre-crisis and post-crisis periods. Employing wavelet coherence DCC-GARCH(1,1) models, we identify that started integrating from 2018 as volatility within reduced. Our main finding is highly interconnected during period. We draw ap...

This paper examines the dynamic conditional correlations among 10 cryptocurrencies and possibility of hedging investment strategies multiple over period affected by COVID-19 from 2017 to 2022. After studying relationship between Bitcoin, Ethereum, other eight cryptocurrencies, four main results were obtained in this paper: first, pre-COVID-19 period, almost all cryptocurrencies’ return growth r...