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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
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Ex ante performance from ex post models of global equity market correlations
Kahl, Douglas R.; Stevens, Jerry L. - In: Global finance journal 20 (2009) 3, pp. 248-259
Persistent link: https://www.econbiz.de/10003921976
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Demystifying Time-Series Momentum Strategies : Volatility Estimators, Trading Rules and Pairwise Correlations
Baltas, Nick - 2019
dynamic leverage mechanism. The correlation-adjusted variant outperforms the naive implementation of the strategy and the …
Persistent link: https://www.econbiz.de/10012905544
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The impact of asynchronous trading on Epps effect on Warsaw stock exchange
Gurgul, Henryk; Machno, Artur - In: Central European journal of operations research : CEJOR … 25 (2017) 2, pp. 287-301
Persistent link: https://www.econbiz.de/10011711254
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Modelling non-linear comovements between time series
Kyrtsou, Catherine; Vorlow, Costas - In: Journal of macroeconomics 31 (2009) 1, pp. 200-211
Persistent link: https://www.econbiz.de/10003840508
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Modelling non-linear comovements between time series: comment
Mizrach, Bruce Marshall - In: Journal of macroeconomics 31 (2009) 1, pp. 212-215
Persistent link: https://www.econbiz.de/10003840510
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Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291
Persistent link: https://www.econbiz.de/10009488255
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Modelling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina; Teräsvirta, Timo - 2012
Persistent link: https://www.econbiz.de/10009502490
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 552-563
Persistent link: https://www.econbiz.de/10009355592
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286