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On testing for diagonality of large dimensional covariance matrices
Kapetanios, George (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002403217
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A note on consumption correlations and European financial integration
Flotho, D. Teja - 2002
In this paper we use empirical cross-country correlation coefficients of GDP- and private consumption data as a measure … find, that the so-called consumption correlation puzzle with high output correlations and considerably small …(er) consumption correlations (just opposite to the theory of complete financial markets) does also and still exist among European …
Persistent link: https://www.econbiz.de/10011598321
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Stochastic complementarity
Manzini, Paola; Mariotti, Marco; Ulkti, Levent - 2015 - This version: March 2015
Classical definitions of complementarity are based on cross price elasticities, and so they do not apply, for example, when goods are free. This context includes many relevant cases such as online newspapers and public attractions. We look for a complementarity notion that does not rely on price...
Persistent link: https://www.econbiz.de/10010517697
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Reputational concerns and price comovements
Sami, Maryam; Brusco, Sandro - 2014
Persistent link: https://www.econbiz.de/10011313862
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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009771098
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Ten things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009723138
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348322
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …
Persistent link: https://www.econbiz.de/10011405221
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Stochastic capital depreciation and the comovement of hours and productivity
Dueker, Michael (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001971164
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Temperature anomalies, radiative forcing and ENSO
Morana, Claudio; Sbrana, Giacomo - 2017
an IGARCH process. By means of a new dynamic conditional correlation model (SP-DCC), we finally document the presence of … time-varying conditional correlations relating temperature anomalies across various zones and SOI. The correlation pattern …
Persistent link: https://www.econbiz.de/10011614201