Volatility threshold dynamic conditional correlations : an international analysis
Year of publication: |
2013
|
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Authors: | Kasch-Haroutounian, Maria ; Caporin, Massimiliano |
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. 11.2013, 4, p. 706-742
|
Subject: | comovement | contagion | dynamic correlations | volatility thresholds | Volatilität | Volatility | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätzung | Estimation | Börsenkurs | Share price |
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