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Order aggressiveness and order book dynamics

Hall, Anthony D.; Hautsch, Nikolaus - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 973-1005

Persistent link: https://www.econbiz.de/10003233831

Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model

Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021

Persistent link: https://www.econbiz.de/10012815962

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494

GARCH effects on a test of cointegration

Franses, Philip Hans; Kofman, Paul; Moser, James T. - 1993

Persistent link: https://www.econbiz.de/10000893748

GARCH effects on a test of cointegration

Franses, Philip H.; Kofman, Paul; Moser, James T. - 1992

Persistent link: https://www.econbiz.de/10000122460

Increasing correlations or just fat tails?

Campbell, Rachel; Forbes, Catherine Scipione; Koedijk, Kees - In: Journal of empirical finance 15 (2008) 2, pp. 287-309

Persistent link: https://www.econbiz.de/10003699142