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Dependence Structure and Extreme Comovements in International Equity and Bond Markets

Garcia, René; Tsafack, Georges - Centre Interuniversitaire de Recherche en Analyse des … - 2009

documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime … modèles GARCH bivarié en langage Gauss ou avec changement de régime. Nous signalons les limites de ces outils pour …

Persistent link: https://www.econbiz.de/10005052205

Large dynamic covariance matrices

Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2017

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …

Persistent link: https://www.econbiz.de/10011663190

Beyond sorting: A more powerful test for cross-sectional anomalies

Ledoit, Olivier; Wolf, Michael; Zhao, Zhao - 2016

Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...

Persistent link: https://www.econbiz.de/10011663197

On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices

Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267

Persistent link: https://www.econbiz.de/10011498510

Large dynamic covariance matrices

Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2016

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …

Persistent link: https://www.econbiz.de/10011518597

Dynamics between North American and European agricultural futures prices during turmoil and financialization

Adämmer, Philipp; Bohl, Martin T.; Ledebur, Oliver von - In: Bulletin of economic research 69 (2017) 1, pp. 57-76

Persistent link: https://www.econbiz.de/10011743063

Beyond sorting : a more powerful test for cross-sectional anomalies

Ledoit, Olivier; Wolf, Michael; Zhao, Zhao - 2016

Persistent link: https://www.econbiz.de/10011571257

Large dynamic covariance matrices

Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - 2017 - Revised version

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …

Persistent link: https://www.econbiz.de/10011640555

Africa stock markets cross-market linkages : a time-varying Dynamic Conditional Correlations (DCC-GARCH) approach

Marozva, Godfrey - In: The journal of applied business research 33 (2017) 2, pp. 321-328

Persistent link: https://www.econbiz.de/10011673887

What makes a safe haven? : equity and currency returns for six OECD countries during the financial crisis

Min, Hong-ghi; McDonald, Judith Ann; Shin, Sang-Ook - In: Annals of economics and finance 17 (2016) 2, pp. 365-402

Persistent link: https://www.econbiz.de/10011656925