Essays about: "DCC- MGARCH model"
Found 4 essays containing the words DCC- MGARCH model.
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1. Diversification benefits of investments in emerging markets - A Swedish perspective
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper evaluates the possibilities for Swedish investors to diversify their portfolios through investments in emerging market equities. Two different investor profiles are considered, where one seeks to minimize the risk in her portfolio and the other seeks to maximize her risk-adjusted return. READ MORE
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2. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. READ MORE
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3. Stock market interdependencies - Evidence from the Eurozone´s southern periphery before and after the outbreak of the European debt crisis
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : Recent events in the Eurozone´s southern periphery have directed much interest to the region but only a limited number of studies have targeted the market interdependencies among these counties. This thesis examines the interdependencies among the stock markets in the Eurozone´s southern periphery, before and after the outbreak of the European debt crisis. READ MORE
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4. The dynamic evolution of stock market integration between China, Japan and South Korea. What are the key determinants of regional stock market integration between these countries?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper investigates the dynamic evolution of the conditional correlation between the stock markets of China, Japan and South Korea by using the DCC-MGARCH model and investigates the key determinants of regional stock market integration by using a linear equation framework. The sample period is from January 1995 until December 2012. READ MORE
