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  • Search: subject:"Dynamic Conditional"
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Year of publication
Subject
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Korrelation 298 Correlation 294 ARCH-Modell 227 ARCH model 222 Dynamic conditional correlation 166 Volatilität 150 Volatility 148 dynamic conditional correlation 91 Portfolio selection 86 Portfolio-Management 86 Stock market 84 Aktienmarkt 83 Dynamic conditional correlations 83 Theorie 82 Theory 81 Financial crisis 70 Zeitreihenanalyse 67 Finanzkrise 66 Time series analysis 66 Estimation theory 64 Kapitaleinkommen 64 Schätztheorie 64 Capital income 62 Schätzung 60 Estimation 59 dynamic conditional correlations 51 Spillover effect 50 Spillover-Effekt 50 Forecasting model 44 Prognoseverfahren 44 Dynamic Conditional Correlation 43 Welt 42 World 41 Finanzmarkt 36 Börsenkurs 35 Financial market 35 Contagion effect 34 Multivariate GARCH 34 Share price 34 Ansteckungseffekt 33
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Online availability
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Free 290 Undetermined 259 CC license 18
Type of publication
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Article 424 Book / Working Paper 221 Other 2 Journal 1
Type of publication (narrower categories)
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Article in journal 324 Aufsatz in Zeitschrift 324 Working Paper 102 Arbeitspapier 66 Graue Literatur 64 Non-commercial literature 64 Article 14 research-article 7 Conference paper 2 Konferenzbeitrag 2 Thesis 2 Aufsatz im Buch 1 Book section 1 Hochschulschrift 1 Report 1
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Language
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English 472 Undetermined 171 Slovak 2 Czech 1 Portuguese 1 Spanish 1
Author
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Blazsek, Szabolcs 49 Ledoit, Olivier 22 Wolf, Michael 22 Antonakakis, Nikolaos 21 McAleer, Michael 20 Escribano, Álvaro 19 Sensoy, Ahmet 19 Engle, Robert F. 18 Kim, Hyeongwoo 17 Kenourgios, Dimitris 14 Ayala, Astrid 13 Hamori, Shigeyuki 13 Licht, Adrian 13 Scharler, Johann 12 Hafner, Christian M. 11 Asai, Manabu 10 De Nard, Gianluca 10 Manera, Matteo 10 Baumöhl, Eduard 9 Dimitriou, Dimitrios 9 Hacihasanoglu, Erk 9 Bauwens, Luc 8 Harvey, Andrew C. 8 Morana, Claudio 8 Silvennoinen, Annastiina 8 Tamakoshi, Go 8 Lanza, Alessandro 7 Teräsvirta, Timo 7 Kim, Bong-Han 6 Lyócsa, Štefan 6 Sbrana, Giacomo 6 Sobaci, Cihat 6 Toyoshima, Yuki 6 Ahmad, Wasim 5 Anderson, Seth 5 Beard, T. Randolph 5 Bianconi, Marcelo 5 Jin, Xisong 5 Kazi, Irfan Akbar 5 Otranto, Edoardo 5
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 16 Department of Economics, Auburn University 9 Research Department, Borsa İstanbul 5 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Erasmus University Rotterdam, Econometric Institute 3 Institut de Préparation à l'Administration et à la Gestion (IPAG) 3 School of Economics and Management, University of Aarhus 3 Tinbergen Instituut 3 Bank for International Settlements (BIS) 2 Departamento de Estadistica, Universidad Carlos III de Madrid 2 Department of Economics and Finance, College of Business and Economics 2 Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 2 Department of Economics, National University of Ireland 2 Department of Economics, Tufts University 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 FIW 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Faculty of Economics, University of Cambridge 2 Fondazione ENI Enrico Mattei (FEEM) 2 Hong Kong Monetary Authority 2 Institut für Volkswirtschaftslehre, Johannes-Kepler-Universität Linz 2 School of Economics and Political Science, Universität St. Gallen 2 University of Toronto, Department of Economics 2 Université Paris-Dauphine (Paris IX) 2 Vienna University of Economics and Business, Department of Economics 2 Banco de México 1 Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Centro Ricerche Nord Sud (CRENoS) 1 Department of Accounting, Finance and Economics, Griffith Business School 1 Department of Economics, Faculty of Business and Economics 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, Oxford University 1 Department of Economics, University of California-San Diego (UCSD) 1 Deutsche Bundesbank 1 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 1 EconWPA 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1
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Published in...
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Applied economics 22 Working paper 17 MPRA Paper 16 Economic modelling 13 Energy economics 13 Working Paper 13 Journal of international financial markets, institutions & money 10 Research in international business and finance 10 The North American journal of economics and finance : a journal of financial economics studies 10 Auburn Economics Working Paper Series 9 International review of economics & finance : IREF 9 International review of financial analysis 9 Working paper series / University of Zurich, Department of Economics 9 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 8 Discussion paper / Tinbergen Institute 7 Finance research letters 7 Journal of empirical finance 7 Tinbergen Institute Discussion Paper 7 Applied economics letters 5 Economic Modelling 5 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 5 International journal of finance & economics : IJFE 5 Journal of International Financial Markets, Institutions and Money 5 Journal of International Money and Finance 5 Nota di Lavoro 5 Working Paper / Research Department, Borsa İstanbul 5 Cambridge working papers in economics 4 Econometric Institute Research Papers 4 International Review of Financial Analysis 4 International journal of economics and financial issues : IJEFI 4 Journal of Risk and Financial Management 4 Journal of financial econometrics 4 Journal of financial stability 4 Journal of risk and financial management : JRFM 4 Physica A: Statistical Mechanics and its Applications 4 The European journal of finance 4 Tinbergen Institute Discussion Papers 4 CORE Discussion Papers 3 CORE discussion papers : DP 3 CREATES Research Papers 3
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Source
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ECONIS (ZBW) 392 RePEc 193 EconStor 50 Other ZBW resources 7 BASE 6
Showing 1 - 10 of 648
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Score-driven global climate zones from 1940 to 2024 : a new objective climate classification method
Blazsek, Szabolcs; Escribano, Álvaro; Kristóf, Erzsébet - 2025
Persistent link: https://www.econbiz.de/10015553095
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Analyzing exchange rate dynamics within the global financial cycle: a dcc-copula approach by
Melo-Velandia, Luis Fernando; Romero, José Vicente; … - 2025
Persistent link: https://www.econbiz.de/10015461275
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The impact of global shocks on sovereign risk : role of domestic factors
Inoguchi, Masahiro - In: Economic systems 49 (2025) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015413307
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Improved gradient scaling for score-driven filters with an application to stock market volatility
Blazsek, Szabolcs; Escribano, Álvaro; Ayala, Astrid - 2025
Persistent link: https://www.econbiz.de/10015396160
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The implications of non-synchronous trading in G-7 financial markets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: International journal of finance & economics : IJFE 30 (2025) 1, pp. 689-709
Persistent link: https://www.econbiz.de/10015337909
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Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions
Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-45
Persistent link: https://www.econbiz.de/10015371777
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Dynamics and co-movements between the COVID-19 outbreak and Polish stock market : a dynamic conditional correlation modeling and wavelet coherence analysis
Dzik-Walczak, Aneta; Gaweł, Anna - In: International journal of management and economics 61 (2025) 5, pp. 28-41
market in Poland. We utilize the Autoregressive Moving Average-Asymmetric Dynamic Conditional Correlation …-Generalized Autoregressive Conditional Heteroskedasticity models to depict the dynamic conditional correlations between Polish stock market and …
Persistent link: https://www.econbiz.de/10015608116
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Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models : comparative performance analysis for portfolio optimization
Sun, Zhangshuang; Gao, Xuerui; Luo, Kangyang; Bai, Yanqin; … - In: Finance research letters 75 (2025), pp. 1-18
Persistent link: https://www.econbiz.de/10015407281
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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 …
Persistent link: https://www.econbiz.de/10015425816
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Kullback-Leibler-based characterizations of score-driven updates
de Punder, Ramon; Dimitriadis, Timo; Lange, Rutger-Jan - 2024
Score-driven models have been applied in some 400 published articles over the last decade. Much of this literature cites the optimality result in Blasques et al. (2015), which, roughly, states that sufficiently small score-driven updates are unique in locally reducing the Kullback-Leibler (KL)...
Persistent link: https://www.econbiz.de/10015045937
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