News and correlations: an impulse response analysis.
Authors: | Le Pen, Yannick ; Sévi, Benoît |
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Institutions: | Université Paris-Dauphine |
Subject: | International Stock Correlation | Generalized Impulse response function | Dynamic conditional correlation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 2 pages long |
Classification: | E17 - Forecasting and Simulation ; G15 - International Financial Markets ; C32 - Time-Series Models ; C22 - Time-Series Models |
Source: |
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News and correlations: an impulse response analysis
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