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Common influences, spillover and integration in Chinese stock markets
Weber, Enzo; Zhang, Yanqun - 2008
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10010263757
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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The …
Persistent link: https://www.econbiz.de/10010281337
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Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008
applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …
Persistent link: https://www.econbiz.de/10011422185
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Structural constant conditional correlation
Weber, Enzo - 2008
constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …
Persistent link: https://www.econbiz.de/10010263718
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Structural dynamic conditional correlation
Weber, Enzo - 2008
structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several … transmission e ects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …
Persistent link: https://www.econbiz.de/10010263754
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Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
Herwartz, Helmut; Golosnoy, Vasyl - 2007
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …
Persistent link: https://www.econbiz.de/10010296287
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2010
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10010276271
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Central bank communication and correlation between financial markets: Canada and the United States
Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012
We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …
Persistent link: https://www.econbiz.de/10010286380
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Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.
Berg, Lennart - 2000
Using daily data for the Swedish stock market for almost the last two decades no distinct and firm deterministic seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish stock market has an impact on and eliminates to some...
Persistent link: https://www.econbiz.de/10010321733
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Asymmetry and Spillover Effects in the North American Equity Markets
Pollard, Stephen K.; Sapra, Sunil K.; Canarella, Giorgio - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-12, pp. 1-52
In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...
Persistent link: https://www.econbiz.de/10010295295