Essays about: "DCC-GJR-GARCH"

Found 2 essays containing the word DCC-GJR-GARCH.

1. 1. Green Finance and its Relation to Asset Classes : Analyzing the dependency structure with a DCC-GARCH and a cross-quantilogram approach

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Mona Ebadian; Linda Ivarsson; [2021]
   Keywords : ;

   Abstract : In this master thesis, we present the first empirical study that investigates the correlation- and dependence structure of green finance with major asset classes such as cryptocurrency, commodities, equity and currency on a global level. Over the years, green finance and sustainability questions have become more and more central in the literature. READ MORE

3. 2. Risk Spillovers between BRICS Stock Markets, US Stock Market, Gold and Oil: A portfolio management approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sofia Fors; Carl Billing; [2020]
   Keywords : BRICS; DCC-GJR-GARCH; risk spillovers; financial contagion; portfolio selection; Business and Economics;

   Abstract : This study investigates the correlation between the US stock market, oil prices, gold prices and the stock markets of five emerging markets: Brazil, Russia, India, China and South Africa (BRICS), in order to explore the risk spillovers and the financial contagion between the markets. A DCC-GJR-GARCH model is applied to daily data of returns from January 2000 to April 2020 and considers both a full sample analysis along with a three-pronged subsample analysis. READ MORE