EU stock markets vs. Germany, UK and US : analysis of dynamic comovements using time-varying DCCA correlation coefficients
Year of publication: |
2020
|
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Authors: | Tilfani, Oussama ; Ferreira, Paulo ; Dionísio, Andreia Teixeira Marques ; El Boukfaoui, My Youssef |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 5/91, p. 1-23
|
Subject: | comovements | correlation coefficient | DCCA | European Union | stock market integration | Schätzung | Estimation | Aktienmarkt | Stock market | Deutschland | Germany | Korrelation | Correlation | Börsenkurs | Share price | Marktintegration | Market integration | EU-Staaten | EU countries | ARCH-Modell | ARCH model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13050091 [DOI] hdl:10419/239179 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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