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Exponent of Cross-Sectional Dependence : Estimation and Inference
Bailey, Natalia - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10013110862
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Exponent of Cross-Sectional Dependence : Estimation and Inference
Bailey, Natalia - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10013111367
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009488893
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012
Persistent link: https://www.econbiz.de/10009579875
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009530816
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
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Has COVID-19 changed the correlation between cryptocurrencies and stock markets?
Abdelkafi, Ines; Romdhane, Youssra Ben; Loukil, Sahar - In: European journal of government and economics : EJGE 12 (2023) 2, pp. 139-156
. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European … are dependent during crisis periods, but not during non-crisis periods. This confirms the time-varying correlation between …
Persistent link: https://www.econbiz.de/10014445351
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On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets
Conrad, Christian - 2014
Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …
Persistent link: https://www.econbiz.de/10013066427
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On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian; Stürmer, Karin; Rittler, Daniel - In: Journal of empirical finance 29 (2014), pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
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Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis : evidence from the Markov switching approach
Just, Małgorzata; Echaust, Krzysztof - In: Finance research letters 37 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012485169