Search Results - subject:"dynamic conditional correlation models"

Financial time series: Methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012611316

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

Persistent link: https://www.econbiz.de/10012304649

Cointegration and conditional correlations among German and Eastern Europe equity markets

Guidi, Francesco; Gupta, Rakesh - Volkswirtschaftliche Fakultät, … - 2010

conditional correlation models. Empirical results suggest that correlations increased after the accession of the CEE countries … structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic …

Persistent link: https://www.econbiz.de/10008529235