High frequency correlation dynamics and day-of-the-week effect : a score-driven approach in an emerging market stock exchange
Hulusi Bahcivan, Cenk C. Karahan
| Year of publication: |
2022
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|---|---|
| Authors: | Bahcivan, Hulusi ; Karahan, Cenk C. |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 80.2022, p. 1-13
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| Subject: | Asynchronicity | Day-of-the-week effect | Intraday conditional correlation | Kalman filtering | Kalendereffekt | Calendar effect | Korrelation | Correlation | Börsenkurs | Share price | Schwellenländer | Emerging economies | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Volatilität | Volatility | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2021.102008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013366247