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Testing serial correlation and ARCH effect of high-dimensional time-series data

Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147

Persistent link: https://www.econbiz.de/10012424504

Currency futures market in India : an empirical analysis of market efficiency and volatility

Nath, Golak Bihari; Pacheco, Manoel - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 47-84

Persistent link: https://www.econbiz.de/10011974206

Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches

Masol, Viktoriya; Schoutens, Wim - 2008

Persistent link: https://www.econbiz.de/10003709746

Measuring rank correlation coefficients between financial time series : a GARCH-copula based sequence alignment algorithm

Laih, Yih-wenn - In: European journal of operational research : EJOR 232 (2014) 2, pp. 375-382

Persistent link: https://www.econbiz.de/10010224694

Correlation asymmetry and implication on hedging

Trabelsi, Abdelwahed; Ennabli, Asma - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 30-56

Persistent link: https://www.econbiz.de/10011862371

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130