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A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH

https://doi.org/10.1080/17446540500447645
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/s0304-4076(00)00052-xopenalex-snapshot
Financial econometrics: Past developments and future challenges
inferredcites →https://doi.org/10.1080/00036840500118804openalex-snapshot
The effect of the GARCH(1, 1) on autocorrelation tests in dynamic systems of equations
inferredcites →https://doi.org/10.1080/1350485032000090758openalex-snapshot
Using prior bias to improve forecast accuracy
inferredcites →https://doi.org/10.1198/073500102288618487openalex-snapshot
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1198/073500102288618496openalex-snapshot
A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
inferredcites →https://doi.org/10.2307/1392202openalex-snapshot
[Bayesian Analysis of Stochastic Volatility Models]: Comment
inferredcites →https://doi.org/10.2307/2109358openalex-snapshot
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
inferredcites →https://doi.org/10.3386/w8554openalex-snapshot
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
inferredcites →https://doi.org/10.3905/jod.1995.407942openalex-snapshot
Techniques for Verifying the Accuracy of Risk Measurement Models
inferredcites →https://doi.org/10.3905/jod.1998.407998openalex-snapshot
Value at Risk When Daily Changes in Market Variables are not Normally Distributed

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model
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Performances of leading Islamic finance markets prior to and during the COVID-19 pandemic
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Modelling systematic risk in the European football sector: Evidence from listed clubs and market indices
inferred← citeshttps://doi.org/10.1016/j.najef.2018.06.012openalex-snapshot
Evaluation of multivariate GARCH models in an optimal asset allocation framework
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The Reduction of Uncertainty in Making Decisions by Evaluating the Macroeconomic Forecasts Performance in Romania
inferred← citeshttps://doi.org/10.1080/1331677x.2012.11517513openalex-snapshot
Interdependence between the Slovenian and European Stock Markets – A DCC-Garch Analysis
inferred← citeshttps://doi.org/10.1080/15140326.2021.1927441openalex-snapshot
Value-at-risk in the presence of asset price bubbles
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Correlation Dynamics in East Asian Financial Markets
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Financial impact of risk on municipal earnings
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Volatility transmission in African foreign exchange markets
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Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis
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Emerging digital economy companies and leading cryptocurrencies: insights from blockchain-based technology companies
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Research on Systematic Risk of Securities Companies Based on DCC-GARCH Model
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International Transmission of Monetary Policy: The Usa to India
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Cryptocurrencies and Investment Diversification: Empirical Evidence from Seven Largest Cryptocurrencies
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