Abstract: Cryptocurrency, a novel digital asset within the blockchain technology ecosystem, has recently garnered significant attention in the investment world. Despite its growing popularity, the ...
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: Generalized autoregressive conditional heteroscedasticity (GARCH) models have long been considered as one of the most successful families of approaches for volatility modeling in financial ...
A comprehensive market risk project comparing three volatility-adaptive VaR models across three correlation scenarios for a four-asset GBP-denominated equity portfolio (Nike, Citibank, Commerzbank, ...
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