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. -- Simultaneity ; identifcation ; EGARCH ; DCC …In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the …
Persistent link: https://www.econbiz.de/10003796131
, illuminating scope and functioning of the SCCC model. -- Simultaneity ; Identification ; EGARCH ; CCC …A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through …
Persistent link: https://www.econbiz.de/10003636117
correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …
Persistent link: https://www.econbiz.de/10011296721
Persistent link: https://www.econbiz.de/10003997412
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conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …
Persistent link: https://www.econbiz.de/10012945121
This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...
Persistent link: https://www.econbiz.de/10010250536
This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by...
Persistent link: https://www.econbiz.de/10012886334
This working paper was written by Yin-wong Cheung (University of California, Santa Cruz).We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and...
Persistent link: https://www.econbiz.de/10013405958
This paper uses a data set from FYROM Stock Exchange to investigate the presence of calendar effects in this recently organised equity market during the period 2002–2008. Five well known calendar effects are examined by both mean (OLS) and variance (GARCH) regressions; the day of the week...
Persistent link: https://www.econbiz.de/10012905636