Narrow search
Showing 1 - 10 of 680
Cover Image
Real interest rate persistence : evidence and implications
Neely, Christopher J. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003741438
Cover Image
A spectral analysis of the cross-country consumption correlation puzzle
Pakko, Michael Robert (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001983018
Cover Image
A worldwide system of reference rates
Williamson, John - 2006
Persistent link: https://www.econbiz.de/10003383881
Cover Image
Understanding dynamic conditional correlations between commodities futures markets
Behmiri, Niaz Bashiri; Manera, Matteo; Nicolini, Marcella - 2016
We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic...
Persistent link: https://www.econbiz.de/10011451631
Cover Image
Macroeconomic announcement effects on the covariance structure of bond returns
Christiansen, Charlotte - 1999
Persistent link: https://www.econbiz.de/10001411173
Cover Image
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
Persistent link: https://www.econbiz.de/10012603081
Cover Image
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han; Fei, Yijie; Yu, Jun - 2023
Persistent link: https://www.econbiz.de/10014329798
Cover Image
Sluggish news reactions: a combinatorial approach for synchronizing stock jumps
Bouamara, Nabil; Boudt, Kris; Laurent, Sébastien; … - 2024
Persistent link: https://www.econbiz.de/10014521306
Cover Image
Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …
Persistent link: https://www.econbiz.de/10011603089
Cover Image
The Baltic States and Europe: common factors of economic acticity
Fadejeva, Ludmila (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003732644