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  • Search: subject:"time varying correlation"
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Year of publication
Subject
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Korrelation 41 Correlation 40 Volatility 31 time-varying correlation 31 Volatilität 30 Time-varying correlation 27 ARCH model 23 ARCH-Modell 23 Estimation 14 Schätzung 14 Welt 14 World 14 Stock market 12 Time series analysis 12 Zeitreihenanalyse 12 Aktienmarkt 11 Börsenkurs 11 Portfolio selection 11 Portfolio-Management 11 Share price 11 Theorie 11 Theory 11 Ölpreis 10 Oil price 9 US dollar 8 Capital income 7 Kapitaleinkommen 7 asset prices 7 exchange rates 7 identification 7 oil prices 7 Spillover effect 6 Spillover-Effekt 6 Financial crisis 5 Finanzkrise 5 GARCH 5 Market integration 5 Marktintegration 5 Time-Varying Correlation 5 Wechselkurs 5
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Online availability
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Undetermined 34 Free 29 CC license 2
Type of publication
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Article 51 Book / Working Paper 24
Type of publication (narrower categories)
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Article in journal 38 Aufsatz in Zeitschrift 38 Working Paper 10 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article 1 Aufsatz im Buch 1 Book section 1
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Language
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English 53 Undetermined 22
Author
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Fratzscher, Marcel 7 Jouini, Jamel 7 Schneider, Daniel 7 Filis, George 6 Essaadi, Essahbi 4 Van Robays, Ine 4 Blasques, Francisco 3 Degiannakis, Stavros 3 He, Changli 3 Kang, Jian 3 Khallouli, Wajih 3 Robays, Ine Van 3 Teräsvirta, Timo 3 Broadstock, David C. 2 Chen, Cathy W. S. 2 Chevallier, Julien 2 Duffy, David 2 Hellström, Jörgen 2 Isenah, Godknows M. 2 Islami, Mevlud 2 Lentz, Christine 2 Lindemann, Jens 2 Liu, Yuna 2 Mao, Hong 2 Moore, Tomoe 2 Olubusoye, Olusanya E. 2 Sjögren, Tomas 2 Stein, Michael 2 Vermeulen, Wessel N. 2 Wang, Ping 2 Wen, Zhongkai 2 Zhang, Shuhua 2 ACHRAF, Ghorbel 1 Abdelhedi, Mouna 1 Al Absy, Mujeeb Saif Mohsen 1 Al-Azzam, Moh'd 1 Alhothuali, Mohammad S. 1 Alshogeathri, Mofleh 1 Alsulami, Hamed Hamdan 1 Arora, Parvinder 1
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Institution
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HAL 2 CESifo 1 Centre de Recherche en Économie Appliquée (CREA), Faculté de droit, d'économie et de finance 1 Centro Ricerche Nord Sud (CRENoS) 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Deutsche Bundesbank 1 European Central Bank 1 Groupe d'Analyse et de Théorie Économique Lyon St-Étienne (GATE Lyon St-Étienne), Faculté de Sciences Économiques et de Gestion 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 Southern Agricultural Economics Association - SAEA 1 Tinbergen Instituut 1 Université Paris-Dauphine (Paris IX) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Economic modelling 3 Applied economics 2 Computational economics 2 Economics letters 2 Energy economics 2 Journal of International Financial Markets, Institutions and Money 2 Journal of international financial markets, institutions & money 2 Post-Print / HAL 2 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 1 Bundesbank Discussion Paper 1 CAMA working paper series 1 CBN Journal of Applied Statistics 1 CBN journal of applied statistics 1 CESifo Working Paper 1 CESifo Working Paper Series 1 CESifo working papers 1 CREA Discussion Paper Series 1 CREATES research paper 1 DIW Discussion Papers 1 Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1 Discussion Papers / Deutsche Bundesbank 1 Discussion Papers of DIW Berlin 1 Discussion paper / Tinbergen Institute 1 Discussion paper / University of Bristol, Department of Economics 1 ECB Working Paper 1 Econometric Reviews 1 Economics Bulletin 1 Economics Letters 1 Economics Papers from University Paris Dauphine 1 Economies : open access journal 1 Finance a úvěr 1 Finance research letters 1 Global business review 1 Global finance journal 1 Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets 1 International Journal of Financial Markets and Derivatives 1 International journal of finance & economics : IJFE 1 International review of financial analysis 1 Investment management and financial innovations 1 Journal of African business 1
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Source
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ECONIS (ZBW) 44 RePEc 25 EconStor 6
Showing 1 - 10 of 75
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Oil price uncertainty and the relation to tanker shipping
Pouliasis, Panos K.; Bentsos, Christos - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2472-2494
Persistent link: https://www.econbiz.de/10014533431
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Beneath the surface : disentangling the dynamic network of the U.S. and BRIC stock markets' interrelations amidst turmoil
Chalissery, Neenu; Nishad, T. Mohamed; Naushad, J. A.; … - In: Risks : open access journal 12 (2024) 12, pp. 1-23
The study examines the time-varying correlation and return spillover mechanism among developed (U.S.) and emerging …
Persistent link: https://www.econbiz.de/10015328729
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An understanding of how GDP, unemployment and inflation interact and change across time and frequency
Shiferaw, Yegnanew A. - In: Economies : open access journal 11 (2023) 5, pp. 1-15
The main aim of this paper is to examine the dynamic relationship between the three pillars of the economy: unemployment, inflation, and GDP in Ethiopia using the cross-wavelet transform (XWT) analysis, the multivariate Student-t generalized autoregressive score (GAS) model, and the...
Persistent link: https://www.econbiz.de/10014319225
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Volatile safe-haven asset : evidence from Bitcoin
Yae, James; Tian, George Zhe - In: Journal of financial stability 73 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015081182
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Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - In: Journal of econometrics 239 (2024) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10015073960
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Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Lee, Chien-Chiang; Lee, Hsiang-Tai - In: Global finance journal 55 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014248631
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Do gulf stock markets share time varying connectedness
Saeed, Tareq; Nautiyal, Neeraj; Ur Rehman, Mobeen; … - In: Applied economics 55 (2023) 48, pp. 5700-5718
Persistent link: https://www.econbiz.de/10014335664
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Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
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Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - 2019
Persistent link: https://www.econbiz.de/10012316892
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How are Bitcoin forks related to Bitcoin?
Bazán-Palomino, Walter - In: Finance research letters 40 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012819626
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