Search Results - subject:"ADCCX"

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Cross-Market Spillovers with ‘Volatility Surprise’

Chevallier, Julien; Aboura, Sofiane - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by …

Persistent link: https://www.econbiz.de/10010928985

Cross-Market Spillovers with 'Volatility Surprise'

Aboura, Sofiane; Chevallier, Julien - HAL - 2014

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by …

Persistent link: https://www.econbiz.de/10010821166

Cross-Market Spillovers with Volatility Surprise

Aboura, Sofiane; Chevallier, Julien - Institut de Préparation à l'Administration et à la … - 2014

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by …

Persistent link: https://www.econbiz.de/10010891079

Volatility returns with vengeance : financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 33 (2015), pp. 334-354

Persistent link: https://www.econbiz.de/10011325853

Volatility returns with vengeance: Financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - In: Research in International Business and Finance 33 (2015) C, pp. 334-354

’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which … consistently within the correlation dynamics of the ADCCX. We find evidence that return and volatility spillovers do exist between …

Persistent link: https://www.econbiz.de/10011116367

Volatility returns with vengeance: Financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2015

’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which … consistently within the correlation dynamics of the ADCCX model. We find evidence that return and volatility spillovers do exist …

Persistent link: https://www.econbiz.de/10011205311

What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?

Vargas, Gregorio A. - Volkswirtschaftliche Fakultät, … - 2008

This paper establishes the link of microstructure and macroeconomic factors to the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be...

Persistent link: https://www.econbiz.de/10005621881

Cross-market spillovers with "volatility surprise"

Aboura, Sofiane; Chevallier, Julien - In: Review of financial economics : RFE 23 (2014) 4, pp. 194-207

Persistent link: https://www.econbiz.de/10010442564

Cross-market spillovers with ‘volatility surprise’

Aboura, Sofiane; Chevallier, Julien - In: Review of Financial Economics 23 (2014) 4, pp. 194-207

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by …

Persistent link: https://www.econbiz.de/10011077890

Cross-Market Spillovers with 'Volatility Surprise'

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by …

Persistent link: https://www.econbiz.de/10011205314