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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

Asymetrie během finančních krizí : asymetrické volatilita převyšuje důležitost asymetrické korelace

Frýd, Lukáš - In: Politická ekonomie : teorie, modelování, aplikace 66 (2018) 3, pp. 302-329

Persistent link: https://www.econbiz.de/10011878024

Comovement, liquidity and asymmetries

Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

Persistent link: https://www.econbiz.de/10012814373

Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR

Choi, Ji-Eun; Shin, Dong-wan - In: The European journal of finance 25 (2019) 18, pp. 1817-1833

Persistent link: https://www.econbiz.de/10012207151

Asymmetric tail dependence in cryptocurrency markets : a Model-free approach

Ahn, Yongkil - In: Finance research letters 47 (2022) 2, pp. 1-5

Persistent link: https://www.econbiz.de/10013553804

Determinants of CEE-4 Stock Market Integration

Baumöhl, Eduard - In: Politická ekonomie 2014 (2014) 3, pp. 347-365

Stock market integration of CEE-4 (the so-called Visegrad group or V4) and G7 countries is examined during the period from January 4, 1998 to August 5, 2012. As a proxy of integration we use dynamic conditional correlations estimated in the standard DCC and asymmetric DCC model framework. It is...

Persistent link: https://www.econbiz.de/10011228234

Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2011

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

Persistent link: https://www.econbiz.de/10011257612

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Aielli, Gian Piero; Caporin, Massimiliano - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011

It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the … Dynamic Conditional Correlation (DCC) model by allowing for a cluster- ing structure of the univariate GARCH parameters. The … the whole set of modelÕs parameters. We also present a new approach to the clustering of GARCH processes, which embeds the …

Persistent link: https://www.econbiz.de/10009025296

The instability of the correlation structure of the S&P 500

Lyócsa, Štefan; Výrost, Tomáš; Baumöhl, Eduard - Volkswirtschaftliche Fakultät, … - 2011

the DCC MV-GARCH model with the MacGyver strategy proposed by Engle (2009). We find empirical evidence that the …

Persistent link: https://www.econbiz.de/10009325633

Dynamic Conditional Correlations for Asymmetric Processes

Asai, Manabu; McAleer, Michael - Department of Economics and Finance, College of … - 2010

-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …

Persistent link: https://www.econbiz.de/10008764018