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A worldwide system of reference rates

Williamson, John - 2006

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A spectral analysis of the cross-country consumption correlation puzzle

Pakko, Michael Robert (contributor) - 2003 - [Elektronische Ressource]

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Technology catch-up in agriculture among advanced economies

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Macroeconomic announcement effects on the covariance structure of bond returns

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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay

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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...

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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 …

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A generalised stochastic volatility in mean VAR

Mumtaz, Haroon - 2018

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

Persistent link: https://www.econbiz.de/10011812167