This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances correlations of daily returns based on measures realized built from intraday data. Formulas multi-step forecasts are provided. Asymmetric versions developed. An empirical study shows that in terms HEAVY outperform BEKK-HEAVY model covariances BEKK, DCC, DECO multivariate GARCH exclusively

This paper shows the effects of COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among commodities relying a mixed-frequency approach that exploits information from number weekly deaths related to in United States. The takes advantage MIxing-Data Sampling (MIDAS) methods. compare our results those obtained by employing two well-known models do not account for...

This paper investigates the time-varying co-movements in cryptocurrency market, employing a Dynamic Equicorrelation GARCH (DECO-GARCH) model, before and during COVID-19 pandemic. Our results suggest that equicorrelations are highly responsive to major events, such as hacker attacks government bans. The lend support recent claim interlinkages among cryptocurrencies have become stronger, particul...

Nghiên cứu nhằm mục tiêu ước lượng mối tương quan và chỉ số lan tỏa về giá giữa Bitcoin thị trường chứng khoán Việt Nam trong giai đoạn COVID–19 xung đột Nga-Ukraine. Để thực hiện điều này, chúng tôi sử dụng mô hình DECO–GARCH đa biến phương pháp kết nối phát triển bởi Diebold Yilmaz (2014). Kết quả cung cấp bằng xác định chung của các nghiên là có ý nghĩa thống kê thay đổi theo thời gian. Hơn ...

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...

Purpose This study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, Czech Republic, Poland, Romania Croatia). Design/methodology/approach The dynamic contemporaneous nexus has been analyzed using both multivariate DECO-GARCH model proposed by Engle Kelly (2012) quantile on (QQ) methodology Sim Zhou (2015). Our is implemented daily data spanning from 6 September...