Measuring conditional correlation between financial markets' inefficiency
Fabrizio Di Sciorio, Raffaele Mattera and Juan Evangelista Trinidad Segovia
| Year of publication: |
2023
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|---|---|
| Authors: | Di Sciorio, Fabrizio ; Mattera, Raffaele ; Trinidad Segovia, Juan Evangelista |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 7.2023, 3, p. 491-507
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| Subject: | Hurst exponent | efficient market hypothesis | dynamic conditional correlation | multivariate GARCH | Hurst-based GARCH | ARCH-Modell | ARCH model | Effizienzmarkthypothese | Efficient market hypothesis | Korrelation | Correlation | Finanzmarkt | Financial market | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2023025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015125319