Search Results - subject:"Asymmetric Dynamic Conditional Correlation"

Volatility spillovers in electricity markets : evidence from the United States

Pantos, Themistoclis; Polyzos, Efstathios; … - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 4, pp. 131-143

Persistent link: https://www.econbiz.de/10012384454

The study of co-movement risk in the context of the Belt and Road Initiative

Hsu, Ching-Chi; Chien, Fengsheng - In: International review of economics & finance : IREF 80 (2022), pp. 1130-1152

Persistent link: https://www.econbiz.de/10013343223

Dynamics in the correlations of the Credit Default Swaps’ G14 dealers: Are there any contagion effects due to Lehman Brothers’ bankruptcy and the global financial crisis?

Kazi, Irfan Akbar; Salloy, Suzanne - Institut de Préparation à l'Administration et à la … - 2014

swap market from January 2004 until May 2009. By using the asymmetric dynamic conditional correlation model developed by …

Persistent link: https://www.econbiz.de/10010764048

On the Time-varying Linkages among the London Interbank Offer Rates for Major European Currencies

Tamakoshi, Go; Hamori, Shigeyuki - In: International Journal of Financial Research 4 (2013) 1, pp. 46-53

We employ an asymmetric dynamic conditional correlation model to investigate the time-varying integration of the London …

Persistent link: https://www.econbiz.de/10011267588

Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers

Kazi, Irfan Akbar; Salloy, Suzanne - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013

swap market from January 2004 until May 2009. By using the asymmetric dynamic conditional correlation model developed by …

Persistent link: https://www.econbiz.de/10010627865

Exploring the dynamic interdependence between gold and other financial markets

Miyazaki, Takashi; Toyoshima, Yuki; Hamori, Shigeyuki - In: Economics Bulletin 32 (2012) 1, pp. 37-50

dynamic conditional correlation model. The asymmetry in the dynamic conditional correlation is not recognized in many pair …In this article, we explore the dynamic interdependence between gold and other financial markets by using an asymmetric …

Persistent link: https://www.econbiz.de/10011278553

Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis : from the perspective of the credit default swaps’ G14 dealers

Salloy, Suzanne; Kazi, Irfan Akbar - 2012

Persistent link: https://www.econbiz.de/10010201410

Modelling correlation dynamics of EMU sovereign debt markets during the recent turmoil

Babalos, Vassilios; Stavroyiannis, Stavros - In: Research in international business and finance 42 (2017), pp. 1021-1029

Persistent link: https://www.econbiz.de/10011760639

On emerging stock market contagion : the Baltic region

Alexakis, Panayotis; Kenourgios, Dimitris; Dimitriou, … - In: Research in international business and finance 36 (2016), pp. 312-321

Persistent link: https://www.econbiz.de/10011594444

Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore

Toyoshima, Yuki; Hamori, Shigeyuki - In: Journal of Asian Economics 24 (2013) C, pp. 117-123

This paper uses the asymmetric dynamic conditional correlation model developed by Cappiello et al. (2006) to analyze …

Persistent link: https://www.econbiz.de/10010608137

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