425
Views
18
CrossRef citations to date
0
Altmetric
Original Articles

Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management

Pages 1685-1697 | Published online: 11 Apr 2011

Keep up to date with the latest research on this topic with citation updates for this article.

Read on this site (5)

Hyun-Bock Lee & Cheol-Ho Park. (2020) Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches. Applied Economics 52:54, pages 5909-5920.
Read now
Syed Faiq Najeeb, Obiyathulla Bacha & Mansur Masih. (2015) Does Heterogeneity in Investment Horizons Affect Portfolio Diversification? Some Insights Using M-GARCH-DCC and Wavelet Correlation Analysis. Emerging Markets Finance and Trade 51:1, pages 188-208.
Read now
A. Maghyereh & B. Awartani. (2012) Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE. Applied Financial Economics 22:10, pages 837-848.
Read now

Articles from other publishers (13)

Sama Haddad. (2023) Global Financial Market Integration: A Literature Survey. Journal of Risk and Financial Management 16:12, pages 495.
Crossref
Alam Asadov, Ramazan Yildirim & Mansur Masih. (2023) Toward greater stability in stablecoins: Empirical evidence from an analysis of precious metals. Borsa Istanbul Review.
Crossref
Mosab I. Tabash, Mohammad Sahabuddin, Fatima Muhammad Abdulkarim, Basem Hamouri & Dang Khoa Tran. (2023) Dynamic Dependency between the Shariah and Traditional Stock Markets: Diversification Opportunities during the COVID-19 and Global Financial Crisis (GFC) Periods. Economies 11:5, pages 149.
Crossref
Beum-Jo Park. (2022) The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market. Research in International Business and Finance 59, pages 101519.
Crossref
Walid Mensi, Xuan Vinh Vo & Sang Hoon Kang. (2021) Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis. Resources Policy 73, pages 102221.
Crossref
Fatima Muhammad Abdulkarim & Mosab I. Tabash. (2020) The power of diversification: Do African fixed-income investors have a chance in Malaysian Sukuk market?. African Journal of Economic and Management Studies 12:1, pages 171-184.
Crossref
Julyerme M. Tonin, Carlos M. R. Vieira, Rui M. Sousa Fragoso & João G. Martines Filho. (2020) Conditional correlation and volatility between spot and futures markets for soybean and corn. Agribusiness 36:4, pages 707-724.
Crossref
Fatima M. Abdulkarim, Mustapha I. Akinlaso, Baharom Abdul Hamid & Hamisu S. Ali. (2020) The nexus between oil price and islamic stock markets in Africa: A wavelet and Multivariate-GARCH approach. Borsa Istanbul Review 20:2, pages 108-120.
Crossref
Rui Li & Saralees Nadarajah. (2018) A review of Student’s t distribution and its generalizations. Empirical Economics 58:3, pages 1461-1490.
Crossref
Ramazan Yildirim & Mansur Masih. 2018. Management of Islamic Finance: Principle, Practice, and Performance. Management of Islamic Finance: Principle, Practice, and Performance 1 36 .
Buerhan Saiti & Nazrul Hazizi Noordin. (2018) Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis. International Journal of Emerging Markets 13:1, pages 267-289.
Crossref
Abdelmounaim Lahrech & Kevin Sylwester. (2013) The impact of NAFTA on North American stock market linkages. The North American Journal of Economics and Finance 25, pages 94-108.
Crossref
Jui-Cheng Hung, Yi-Hsien Wang, Matthew C. Chang, Kuang-Hsun Shih & Hsiu-Hsueh Kao. (2011) Minimum variance hedging with bivariate regime-switching model for WTI crude oil. Energy 36:5, pages 3050-3057.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.