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  • Search: subject:"Intraday conditional correlation"
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ARCH model 1 ARCH-Modell 1 Aktienmarkt 1 Asynchronicity 1 Börsenkurs 1 Calendar effect 1 Correlation 1 Day-of-the-week effect 1 Emerging economies 1 Intraday conditional correlation 1 Kalendereffekt 1 Kalman filtering 1 Korrelation 1 Schwellenländer 1 Share price 1 State space model 1 Stock market 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 Zustandsraummodell 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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Bahcivan, Hulusi 1 Karahan, Cenk C. 1
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International review of financial analysis 1
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High frequency correlation dynamics and day-of-the-week effect : a score-driven approach in an emerging market stock exchange
Bahcivan, Hulusi; Karahan, Cenk C. - In: International review of financial analysis 80 (2022), pp. 1-13
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