Search Results - subject:"dynamic 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

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

Maximum-Likelihood estimation using the zig-zag algorithm

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - In: Journal of financial econometrics 21 (2023) 4, pp. 1346-1375

Persistent link: https://www.econbiz.de/10014391462

Are lower interest rates really associated with higher growth? : new empirical evidence on the interest rate thesis from 19 countries

Lee, Kang-Soek; Werner, Richard A. - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3960-3975

Persistent link: https://www.econbiz.de/10014429221

Spillover of sentiments between the GCC stock markets

Chowdhury, Shah Saeed Hassan - In: Global business review 24 (2023) 6, pp. 1434-1453

Persistent link: https://www.econbiz.de/10014433227

Modeling dynamic correlation and volatility of the Visegrad Group fuel markets

Krawiec, Monika; Borkowski, Bolesław; Shachmurove, Yochanan - In: Contemporary economics 17 (2023) 4, pp. 424-442

The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad region, namely Hungary, the Czech Republic, Poland, and Slovakia. The primary objective of the paper is to explore regional fuel markets and retail prices in these countries by...

Persistent link: https://www.econbiz.de/10014446868