Search Results - subject:"Conditional correlation"

The implications of non-synchronous trading in G-7 financial markets

Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - 2025

Persistent link: https://www.econbiz.de/10015337909

The impact of global risk aversion and domestic macroeconomic factors on the dynamic conditional correlations of South African financial markets

Mloyi, Kelleb; Vengesai, Edson - In: Cogent economics & finance 12 (2024) 1, pp. 1-20

This paper considers the impact of global risk aversion and domestic macroeconomic factors on the dynamic conditional correlations between the South African stock, bond, and foreign exchange markets. Our first stage findings using the DCC-GARCH model show that correlations between the selected...

Persistent link: https://www.econbiz.de/10015192610

An adaptive long memory conditional correlation model

Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014491877

Green-adjusted share prices : a comparison between standard investors and investors with green preferences

Quaye, Enoch Nii Boi; Tunaru, Diana; Tunaru, Radu - In: Journal of financial stability 74 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015083513

Hedging investment-grade and high-yield bonds with credit VIX

Bouri, Elie; Alsagr, Naif - In: Economics letters 237 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10015073875

Do online attention and sentiment affect cryptocurrencies' correlations?

Aslanidis, Nektarios; Bariviera, Aurelio Fernández; … - In: Research in international business and finance 71 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015062450

Safe haven for crude oil : bitcoin or precious metals? : new insight from time varying coefficient-vector autoregressive model

Abidi, Ilyes; Touhami, Kamel - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 184-195

Persistent link: https://www.econbiz.de/10014484270

Can municipal bonds hedge US state-level climate risks?

Polat, Onur; Gupta, Rangan; Cepni, Oguzhan; Ji, Qiang - 2024

Persistent link: https://www.econbiz.de/10014521269

Optimal portfolio allocation and asset centrality revisited

Olmo, Jose - In: Quantitative finance 21 (2021) 9, pp. 1475-1490

Persistent link: https://www.econbiz.de/10012624148

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets: Evidence from developed and emerging countries

Sahabuddin, Mohammad; Tabash, Mosab I.; Alam, Md. Kausar; … - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

Persistent link: https://www.econbiz.de/10014332858