Modeling time-varying correlations in volatility between BRICS and commodity markets
Sang Hoon Kang, Ron McIver and Seong-Min Yoon
| Year of publication: |
2016
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| Authors: | Kang, Sang Hoon ; McIver, Ron ; Yoon, Seong-min |
| Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 52.2016, 7/9, p. 1698-1723
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| Subject: | BRICS stock markets | volatility | structural breaks | time-varying hedge ratios | multivariate DCC-FIAPARCH model | Volatilität | Volatility | ARCH-Modell | ARCH model | BRICS-Staaten | BRICS countries | Hedging | Strukturbruch | Structural break | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2016.1143248 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011594437