Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10005221806
Persistent link: https://www.econbiz.de/10005229059
Using data from 50 equity markets we examine conditional and unconditional correlations around two major banking events during the financial crisis of 2008–09. To measure the value of covariance information on the augmented DCC model used in the study, a portfolio in-sample estimation is...
Persistent link: https://www.econbiz.de/10011056767
Persistent link: https://www.econbiz.de/10005221852