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  • Search: subject:"dynamic conditional correlation (DCC)"
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Year of publication
Subject
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Correlation 15 Korrelation 15 ARCH model 11 ARCH-Modell 11 Estimation 8 Schätzung 8 Dynamic conditional correlation (DCC) 7 Portfolio selection 6 Portfolio-Management 6 Theorie 6 Theory 6 Risikomaß 5 Risk measure 5 dynamic conditional correlation (DCC) 5 dynamic conditional correlation (DCC) model 5 Capital income 4 Kapitaleinkommen 4 Risiko 4 Risk 4 1980-2010 3 Asset pricing 3 Consumer behaviour 3 G7 countries 3 G7-Staaten 3 Intertemporal choice 3 Intertemporale Entscheidung 3 Konsumentenverhalten 3 Structural break 3 Strukturbruch 3 dynamic equicorrelation (DECO) 3 Asset allocation 2 Capital market returns 2 Change-point tests 2 Correlation breaks 2 Credit risk 2 Dynamic equicorrelation (DECO) 2 ES 2 Kapitalmarktrendite 2 Kreditrisiko 2 Multivariate GARCH 2
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Online availability
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Free 12 Undetermined 7
Type of publication
All
Article 12 Book / Working Paper 10
Type of publication (narrower categories)
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Article in journal 10 Aufsatz in Zeitschrift 10 Arbeitspapier 6 Working Paper 6 Graue Literatur 5 Non-commercial literature 5 Conference paper 1 Konferenzbeitrag 1
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Language
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English 15 Undetermined 6 Portuguese 1
Author
All
Jin, Xisong 5 Antonakakis, Nikolaos 3 Füss, Roland 3 Jacobs, Kris 3 Scharler, Johann 3 Adams, Zeno 2 Christoffersen, Peter 2 Errunza, Vihang R. 2 Glück, Thorsten 2 Lehnert, Thorsten 2 Aepli, Matthias Daniel 1 Algaba, Andres 1 Bianconi, Marcelo 1 Boudt, Kris 1 Caldeira, João F. 1 Ceretta, Paulo Sergio 1 Cerezetti, Fernando 1 Chen, Ming-Chi 1 Cheruvelil, Roy 1 Christoffersen, Peter F. 1 Errunza, Vihang 1 Frauendorfer, Karl 1 Gottschalk, Sylvia 1 Kanno, Masayasu 1 Li, David 1 Masih, Mansur 1 Moraes, Alexandra Kelly de 1 Moura, Guilherme V. 1 Moura, Guilherme Valle 1 Naseri, Marjan 1 Paraschiv, Florentina 1 Santos, André A. P. 1 Santos, André A.P. 1 Sing, Tien Foo 1 Tsai, Hsiu-Jung 1 Vanduffel, Steven 1 Wong, Hock Tsen 1 Yang, Chih-Yuan 1 Yoshino, Joe A. 1
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Institution
All
Department of Economics, Tufts University 1 Luxembourg School of Finance, Faculté de droit, d'économie et de finance 1 School of Economics and Management, University of Aarhus 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
FIW working paper 2 Working papers on finance 2 CREATES Research Papers 1 Computational Statistics & Data Analysis 1 Computational economics 1 Discussion Papers Series, Department of Economics, Tufts University 1 Estudos econômicos 1 International Journal of Forecasting 1 International journal of finance & economics : IJFE 1 International journal of forecasting 1 International journal of strategic property management 1 International review of economics & finance : IREF 1 Journal of banking & finance 1 LSF Research Working Paper Series 1 LSF research working paper series 1 MPRA Paper 1 Research in international business and finance 1 The European journal of finance 1 The journal of financial market infrastructures 1 Working paper / Department of Economics, Johannes-Kepler-Universität of Linz 1
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Source
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ECONIS (ZBW) 16 RePEc 6
Showing 1 - 10 of 22
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Correlation breakdowns, spread positions and central counterparty margin models
Li, David; Cerezetti, Fernando; Cheruvelil, Roy - In: The journal of financial market infrastructures 11 (2024) 3, pp. 19-40
Persistent link: https://www.econbiz.de/10015441864
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From Black Wednesday to Brexit : macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom
Gottschalk, Sylvia - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2843-2873
Persistent link: https://www.econbiz.de/10014327598
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Correlação conditional dinâmica, spillover de volatilidade e hedge para os preços do petróleo futuro e das ações das principais empresas do setor petrolífero
Moraes, Alexandra Kelly de; Ceretta, Paulo Sergio - In: Estudos econômicos 53 (2023) 2, pp. 375-409
Persistent link: https://www.econbiz.de/10015628071
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Assessing the impact of COVID-19 on major industries in Japan : a dynamic conditional correlation approach
Kanno, Masayasu - In: Research in international business and finance 58 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013286740
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Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Jin, Xisong; Lehnert, Thorsten - 2017
Persistent link: https://www.econbiz.de/10011817658
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The variance implied conditional correlation
Algaba, Andres; Boudt, Kris; Vanduffel, Steven - In: The European journal of finance 26 (2020) 2/3, pp. 200-222
Persistent link: https://www.econbiz.de/10012207197
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Are correlations constant? : empirical and theoretical results on popular correlation models in finance
Adams, Zeno; Füss, Roland; Glück, Thorsten - 2017 - This version: February 2017
Persistent link: https://www.econbiz.de/10011686765
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Real exchange rate returns and real stock price returns
Wong, Hock Tsen - In: International review of economics & finance : IREF 49 (2017), pp. 340-352
Persistent link: https://www.econbiz.de/10011748479
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Are correlations constant? : empirical and theoretical results on popular correlation models in finance
Adams, Zeno; Füss, Roland; Glück, Thorsten - In: Journal of banking & finance 84 (2017), pp. 9-24
Persistent link: https://www.econbiz.de/10011816833
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Multivariate dynamic Copula models : parameter estimation and forecast evaluation
Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015
This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...
Persistent link: https://www.econbiz.de/10011344180
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