Search Results - subject:"DCCGARCH"

Time varying international financial integration for GCC stock markets

Alotaibi, Abdullah R.; Mishra, Anil V. - In: The quarterly review of economics and finance : journal … 63 (2017), pp. 66-78

Persistent link: https://www.econbiz.de/10011791755

Analysis of dynamic correlation of Japanese stock returns with network clustering

Isogai, Takashi - In: Asia-Pacific financial markets 24 (2017) 3, pp. 193-220

Persistent link: https://www.econbiz.de/10011797666

Systemic risk in the Chinese financial system : measuring and ranking

Derbali, Abdelkader - In: The Chinese economy 50 (2017) 1, pp. 34-58

Persistent link: https://www.econbiz.de/10011821699

Risk-neutral valuation of the non-recourse protection in reverse mortgages : a case study for Korea

Kim, Joseph H. T.; Li, Johnny S. H. - In: Emerging markets review 30 (2017), pp. 133-154

Persistent link: https://www.econbiz.de/10011803025

Systemic risk ranking of US financial institutions

Derbali, Abdelkader - In: International journal of management and network … 4 (2017) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10012252011

Is there a contagion between oil-importing countries?

Sahut, Jean-Michel; Guesmi, Khaled; Talbi, Dorra - In: Revue Gestion 2000 : management & prospective 34 (2017) 3, pp. 99-111

Persistent link: https://www.econbiz.de/10011964542

An assessment of the relationship between public real estate markets and stock markets at the local, regional, and global levels

Liow, Kim Hiang; Schindler, Felix - 2011

The primary contribution of this study is to assess whether public real estate markets and stock markets are linked at the local, regional, and global levels, and to assess the evolution of their dynamic relationship and gradual integration during the last two decades. For individual pairs of...

Persistent link: https://www.econbiz.de/10010306608

An assessment of the relationship between public real estate markets and stock markets at the local, regional, and global levels

Liow, Kim Hiang; Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011

Persistent link: https://www.econbiz.de/10009323190

How strong is the global integration of emerging market regions? An empirical assessment

GUESMI, Khaled; Nguyen, Duc Khuong - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2011

Asset Pricing Model (ICAPM) with DCC-GARCH parameters that allows for dynamic changes in the degree of market integration …

Persistent link: https://www.econbiz.de/10008867995

Are domestic Asian markets integrated with the regional one? An empirical assessment

Guesmi, Khaled - In: Economics Bulletin 31 (2011) 1, pp. 5-5

Model (ICAPM) with DCC-GARCH para-meters. Secondly, we study the structural breaks in these series. Finally, we relate the …

Persistent link: https://www.econbiz.de/10010629447