Volatility Threshold Dynamic Conditional Correlations: An International Analysis
Year of publication: |
2008
|
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Authors: | Kasch, Maria ; Caporin, Massimiliano |
Institutions: | Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova |
Subject: | dynamic correlations | thresholds | volatility thresholds | spillovers |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 0065 52 pages |
Classification: | C50 - Econometric Modeling. General ; F37 - International Finance Forecasting and Simulation ; G11 - Portfolio Choice ; G15 - International Financial Markets |
Source: |
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