Search Results - subject:"Local Gaussian correlation"

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

Bivariate distribution regression : theory, estimation and an application to intergenerational mobility

Chernozhukov, Victor; Fernández-Val, Iván; Meier, Jonas; … - 2025

We employ distribution regression to estimate the joint distribution of two outcome variables conditional on covariates. Bivariate Distribution Regression (BDR) is particularly valuable when some dependence between the outcomes persists after accounting for the impact of the covariates. Our...

Persistent link: https://www.econbiz.de/10015448534

Bivariate Distribution Regression; Theory, Estimation and an Application to Intergenerational Mobility

Chernozhukov, Victor; Fernández-Val, Iván; Meier, Jonas; … - 2025

Persistent link: https://www.econbiz.de/10015466157

US interbank risk spillover network : temporal dynamics and external shocks

He, Yue; Tao, Miaomiao; Ren, Xiaohang - In: Finance research letters 85 (2025) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10015560556

Sovereign bond and CDS market contagion : a story from the Eurozone crisis

Bampinas, Georgios; Panagiōtidēs, Theodōros; … - 2023

Persistent link: https://www.econbiz.de/10014305835

Nonlinear contagion between stock and real estate markets : international evidence from a local Gaussian correlation approach

Bouri, Elie; Gupta, Rangan; Wang, Shixuan - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2089-2109

Persistent link: https://www.econbiz.de/10013184682

Does COVID-19 impact the dependence between oil and stock markets? : evidence from RCEP countries

Li, Dongxin; Zhang, Feipeng; Yuan, Di; Cai, Yuan - In: International review of economics & finance : IREF 89 (2024) 1, pp. 909-939

Persistent link: https://www.econbiz.de/10014446610

Sovereign bond and CDS market contagion : a story from the Eurozone crisis

Bampinas, Georgios; Panagiōtidēs, Theodōros; … - In: Journal of international money and finance 137 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014478141

Contagion or flight-to-quality? : the linkage between oil price and the US dollar based on the local Gaussian approach

Ming, Lei; Shen, Yao; Yang, Shenggang; Dong, Minyi - In: The journal of futures markets 42 (2022) 4, pp. 722-750

Persistent link: https://www.econbiz.de/10013187583

Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations

Sleire, Anders D.; Støve, Bård; Otneim, Håkon; … - In: Finance research letters 46 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013342680