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Christ, Korbinian - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003735333

Modeling latent variables in economics and finance

Bluteau, Keven - 2019

–regime and Markov-switching GARCH (MSGARCH) models, from a risk management perspective. I find that, for daily, weekly, and ten … étude à grande échelle empirique pour comparer la` performance de prévision de modèle GARCH sans changement de régime et de … modèle GARCH à changement de régimes Markovien (MSGARCH) du point de vue d’un gestionnaire des risques. Les résultats …

Persistent link: https://www.econbiz.de/10012055679

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

Persistent link: https://www.econbiz.de/10001736255

Short-sell moratorium effects on regional bank performance

Devaney, Michael; Weber, William L. - In: Journal of financial economic policy 5 (2013) 2, pp. 92-110

Persistent link: https://www.econbiz.de/10009759324

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its …-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …

Persistent link: https://www.econbiz.de/10009725481

Central bank communication and correlation between financial markets: Canada and the United States

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...

Persistent link: https://www.econbiz.de/10010286380

Central bank communication and correlation between financial markets : Canada and the United States

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - In: International economics and economic policy : IEEP 10 (2013) 2, pp. 277-296

Persistent link: https://www.econbiz.de/10009754633

Directional spillovers from the US and the Saudi market to equities in the Gulf Cooperation Council countries

Awartani, Basel; Maghyereh, Aktham I.; Al Shiab, Mohammad - In: Journal of international financial markets, … 27 (2013), pp. 224-242

Persistent link: https://www.econbiz.de/10010411742

Dynamic transmissions between the U.S. and equity markets in the MENA countries : new evidence from pre- and post-global financial crisis

Maghyereh, Aktham I.; Awartani, Basel; Hilu, Khalil Al - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 123-138

Persistent link: https://www.econbiz.de/10011574365

Investors' risk perceptions in the US and global stock market integration

Marfatia, Hardik A. - In: Research in international business and finance 52 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012548544