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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

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

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

Ledoit, Olivier; Wolf, Michael; Zhao, Zhao - In: Journal of financial econometrics 17 (2019) 4, pp. 645-686

Persistent link: https://www.econbiz.de/10012152240

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

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

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

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/10011571257

Asymmetric correlation of sovereign bond yield dynamics in the Eurozone

Dajcman, Silvo - In: Panoeconomicus 60 (2013) 6, pp. 775-789

Persistent link: https://www.econbiz.de/10010341632

What causes the asymmetric correlation in stock returns?

Chung, Y. Peter; Hong, Hyun A.; Kim, S. Thomas - In: Journal of empirical finance 54 (2019), pp. 190-212

Persistent link: https://www.econbiz.de/10012174849

Asymmetric correlation as an explanation for the effect of asset skewness on equity returns

Chung, Y. Peter; Kim, Thomas S. - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 686-699

Persistent link: https://www.econbiz.de/10011779392

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