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A multi-country analysis of the temporary and permanent components of stock prices

Gallagher, Liam - In: Applied financial economics 9 (1999) 2, pp. 129-142

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Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?

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Cross-border sentiment : an empirical analysis on EU stock markets

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Exchange rate and interest rate volatility in the European monetary system : some further results

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Euro area inflation : long-run determinants and short-run dynamics

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Tranquil and crisis windows, heteroscedasticity, and contagion measurement : MS-VAR application of the DCC procedure

Pontines, Victor; Siregar, Reza Yamora - In: Applied financial economics 19 (2009) 7/9, pp. 745-752

The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance (DCC) matrix procedure of Rigobon (2003), namely with the arbitrary determination of the windows, i.e. tranquil and crisis periods and the violation of its heteroscedasticity...

Persistent link: https://www.econbiz.de/10003842735