Co-movement and dynamic correlation of financial and energy markets : an integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH
Year of publication: |
2021
|
---|---|
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
|
Subject: | Financial market | Nonlinear dynamics | Continuous wavelet transform | Discrete wavelet transform | Conditional correlation | Korrelation | Correlation | Zustandsraummodell | State space model | Marktintegration | Market integration | Finanzmarkt | Volatilität | Volatility | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression |
-
Boghicevici, Claudia, (2021)
-
Co-movements and contagion between international stock index futures markets
Albulescu, Claudiu Tiberiu, (2017)
-
Multiscale volatility transmission and portfolio construction between the baltic stock markets
Živkov, Dejan, (2019)
- More ...
-
Modelling an Intelligent Schemes for Black Money versus Poverty Using Fuzzy Cognitive Map
Das, Sumit, (2020)
-
Valuation of patent : a classification of methodologies
Banerjee, Arundhati, (2017)
-
Valuation of patents for securitization : factors and method
Banerjee, Arundhati, (2024)
- More ...