1 College of Business, Law and Governance, James Cook University, Townsville, Australia. 2 Institute of Business & Information Technology, University of the Punjab, Lahore, Pakistan. Security traders ...
The dcc_garch package implements the Dynamic Conditional Correlation (DCC) framework proposed by Engle (2002) — a cornerstone in multivariate volatility modeling. It estimates time-varying covariance ...
An interactive web dashboard for univariate GARCH(1,1) and multivariate DCC-GARCH(1,1) volatility modelling across user-selectable asset universes (11 S&P 500 sectors, stock/bond, NASDAQ vs SPX, ...
ABSTRACT: The global financial landscape is increasingly becoming interconnected, with financial markets exhibiting complex interdependencies. This increases the possibility of market risk spreading ...
Abstract: Data that house topological information is manifested as relationships between multiple variables via a graph formulation. Various methods have been developed for analyzing time series on ...
Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...
Volatility forecasting is a key component of modern finance, used in asset allocation, risk management, and options pricing. Investors and traders rely on precise volatility models to optimize ...
We investigate the hedging effectiveness of energy derivatives traded at the European Energy Exchange (EEX), which can be used for mitigating the risk exposure of gas- and coal-fired power plants in ...
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