Search Results - subject:"Asymmetric dynamic conditional correlation model"

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

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

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

Toyoshima, Yuki - In: Journal of Asian economics 24 (2013) 1, pp. 117-123

Persistent link: https://www.econbiz.de/10009715247

Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market

Toyoshima, Yuki; Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of International Financial Markets, … 22 (2012) 2, pp. 381-394

Using the asymmetric dynamic conditional correlation (A-DCC) model developed by Cappiello et al. (2006), this paper empirically analyzes the conditional correlation between treasury and swap markets from February 9, 2006 to May 31, 2011, and makes two key contributions. First, the dynamics of...

Persistent link: https://www.econbiz.de/10011041520

Asymmetric dynamics in correlations of treasury and swap markets : evidence from the US market

Toyoshima, Yuki; Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of international financial markets, … 22 (2012) 2, pp. 381-394

Persistent link: https://www.econbiz.de/10009581695