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A new online-test for changes in correlations between assets
Arnold, Matthias; Bissantz, Nicolai; Wied, Dominik; … - 2010
Persistent link: https://www.econbiz.de/10008839855
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Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
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Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Chen, Xin; Yang, Dan; Yan, Xu; Xia, Yin; Wang, Dong; … - In: Journal of econometrics 232 (2023) 2, pp. 544-564
Persistent link: https://www.econbiz.de/10014340639
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Testing continuous time models in financial markets
Kleinow, Torsten (contributor) - 2002
Persistent link: https://www.econbiz.de/10001722799
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
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Heterogeneity across emerging market central bank reaction functions
Turkay, Mesut - In: Central Bank review / The Central Bank of the Republic … 17 (2017) 3, pp. 111-116
Persistent link: https://www.econbiz.de/10011781431
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Economic sources of asymmetric cross-correlation among stock returns
Yu, Chih-hsien; Wu, Chunchi - In: International review of economics & finance : IREF 10 (2001) 1, pp. 19-40
Persistent link: https://www.econbiz.de/10001569164
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Structural dynamic conditional correlation
Weber, Enzo - 2008
structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …). The additional fexibility is shown to make an important contribution in the estimation of empirical real-data examples …
Persistent link: https://www.econbiz.de/10003796131