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Keywords: DCC-GARCH
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Journal Articles
Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy 1–24.
Published: 14 April 2026
... conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to examine time-varying correlations between communication surprises and exchange rates, government bond yields and stock returns. Findings Fed communication has significant and heterogeneous effects...
Includes: Supplementary data
Journal Articles
Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy (2025) 17 (4): 617–638.
Published: 04 December 2024
... in Türkiye. Design/methodology/approach Due to the time-varying nature of the relationship of the variables, dynamic conditional correlation-generalized autoregressive conditionally heteroscedastic (DCC-GARCH) models and the Markov switching model are used as analytical tools. Leveraging the DCC...
Journal Articles
Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy (2023) 15 (6): 551–573.
Published: 27 September 2023
... daily data on cryptocurrencies and Indian stock prices from March 10, 2015 to August 26, 2022. The researchers have used the dynamic conditional correlations (DCC)-GARCH model to determine the volatility spillover and dynamic correlation between stocks and digital currencies. Further, researchers have...
