Co-movement and dynamic correlation of financial and energy markets : an integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH
Indranil Ghosh, Manas K. Sanyal, R.K. Jana
| Year of publication: |
2021
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| Authors: | Ghosh, Indranil ; Sanyal, Manas Kumar ; Jana, R. K. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 57.2021, 2, p. 503-527
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| Subject: | Financial market | Nonlinear dynamics | Continuous wavelet transform | Discrete wavelet transform | Conditional correlation | Korrelation | Correlation | Zustandsraummodell | State space model | Finanzmarkt | Volatilität | Volatility | Theorie | Theory | Nichtlineare Dynamik | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Marktintegration | Market integration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09965-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486945