Advanced search
Publication Cover
Applied Economics Letters Volume 15, 2008 - Issue 7
Submit an article Journal homepage
288
Views
19
CrossRef citations to date
0
Altmetric
Original Articles

Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates

Yuan-Hung Hsu Ku Department of Financial Operations, National Kaohsiung First University of Science and Technology, 2, Juoyue Rd., Nantz District, Kaohsiung 811, Taiwan, R.O.CCorrespondence[email protected]
&
Jai Jen Wang Department of Finance, Feng Chia University, Taiwan, Republic of China
Pages 533-538 | Published online: 20 Jun 2008

Citations (19)

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

Subscribe to citation updates

Read on this site (3)

Wang Yiwei, Khakan Najaf, Guilherme F. Frederico & Osama F. Atayah. (2022) Influence of COVID-19 pandemic on the tourism sector: evidence from China and United States stocks. Current Issues in Tourism 25:23, pages 3783-3798.
Read now
Muhammad Mahmudul Karim, Mohammad Ashraful Ferdous Chowdhury & Mansur Masih. (2022) Re-examining oil and BRICS’ stock markets: new evidence from wavelet and MGARCH-DCC. Macroeconomics and Finance in Emerging Market Economies 15:2, pages 196-214.
Read now
Yuki Toyoshima, Tadahiro Nakajima & Shigeyuki Hamori. (2013) Crude oil hedging strategy: new evidence from the data of the financial crisis. Applied Financial Economics 23:12, pages 1033-1041.
Read now

Articles from other publishers (16)

Md Hakim Ali, Christophe Schinckus, Md Akther Uddin & Saeed Pahlevansharif. (2022) Asymmetric effects of economic policy uncertainty on Bitcoin’s hedging power. Studies in Economics and Finance 40:2, pages 213-229.
Crossref
Paresh Kumar Narayan, Syed Aun R. Rizvi & Ali Sakti. (2022) Did green debt instruments aid diversification during the COVID-19 pandemic?. Financial Innovation 8:1.
Crossref
Md Hakim Ali, Md Akther Uddin, Md. Atiqur Rahman Khan & Blake Goud. (2020) Faith‐based versus value‐based finance: Is there any portfolio diversification benefit between responsible and Islamic finance?. International Journal of Finance & Economics 26:4, pages 5570-5583.
Crossref
Md Akther Uddin, Md Hakim Ali & Mansur Masih. (2020) Bitcoin—A hype or digital gold? Global evidence. Australian Economic Papers 59:3, pages 215-231.
Crossref
Khreshna Syuhada, Risti Nur’aini & Mahfudhotin. (2020) Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach. Journal of Applied Mathematics 2020, pages 1-14.
Crossref
Md Hakim Ali, Md Akther Uddin, Mohammad Ashraful Ferdous Chowdhury & Mansur Masih. (2019) Cross-country evidence of Islamic portfolio diversification: are there opportunities in Saudi Arabia?. Managerial Finance 45:1, pages 36-53.
Crossref
Saralees Nadarajah & Stephen Chan. 2016. Extreme Events in Finance. Extreme Events in Finance 283 356 .
Michail S. Sotiriadis, Radamanthis Tsotsos & Kyriaki Kosmidou. (2014) Price and volatility interrelationships in the wholesale spot electricity markets of the Central-Western European and Nordic region: a multivariate GARCH approach. Energy Systems 7:1, pages 5-32.
Crossref
Kaijian He, Lijun Wang, Yingchao Zou & Kin Keung Lai. (2014) Value at risk estimation with entropy-based wavelet analysis in exchange markets. Physica A: Statistical Mechanics and its Applications 408, pages 62-71.
Crossref
Hongqian Wang, Kaijian He & Yingchao Zou. (2014) EMD Based Value at Risk Estimate Algorithm for Electricity Markets. EMD Based Value at Risk Estimate Algorithm for Electricity Markets.
Kaijian He, Yingchao Zou & Kin Keung Lai. (2013) Wavelet Based Approach for Exchange Rate Portfolio Value at Risk Estimation. Wavelet Based Approach for Exchange Rate Portfolio Value at Risk Estimation.
Yuki Toyoshima & Shigeyuki Hamori. (2013) Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore. Journal of Asian Economics 24, pages 117-123.
Crossref
Kaijian He, Kin Keung Lai & Guocheng Xiang. (2012) Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach. Energies 5:4, pages 1018-1043.
Crossref
Yuki Toyoshima, Go Tamakoshi & Shigeyuki Hamori. (2012) Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market. Journal of International Financial Markets, Institutions and Money 22:2, pages 381-394.
Crossref
Saba Sattar & Danish Ahmed Siddiqui. (2021) Multi-Scale Correlation between Indices during the period marking significant Political and Economic events: Evidence from Pakistan Stock Exchange using wavelet coherence and MGARCH-DCC.. SSRN Electronic Journal.
Crossref
Waqas Farooq & Danish Ahmed Siddiqui. (2021) Islamic Index vs Conventional Index: Is There Any Portfolio Diversification Benefit Between KMI 30, KSE 30 and KSE 100?. SSRN Electronic Journal.
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:

Order Reprints Request Corporate Permissions

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:

Request Academic Permissions

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.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.