Structural volatility impulse response function and asymptotic inference
Year of publication: |
2018
|
---|---|
Authors: | Liu, Xiaochun |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 2, p. 316-339
|
Subject: | causality-in-volatility | commodity and stock market volatilities | contemporaneous effects | correlation structural break | structural dynamic conditional comovement | Volatilität | Volatility | Korrelation | Correlation | Aktienmarkt | Stock market | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Börsenkurs | Share price | ARCH-Modell | ARCH model |
-
Modeling time-varying correlations in volatility between BRICS and commodity markets
Kang, Sang Hoon, (2016)
-
Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali, (2014)
-
Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl, (2015)
- More ...
-
The Dynamic International Optimal Hedge Ratio
Liu, Xiaochun, (2011)
-
Modeling the time-varying skewness via decomposition for out-of-sample forecast
Liu, Xiaochun, (2011)
-
Markov-Switching Quantile Autoregression
Liu, Xiaochun, (2013)
- More ...