Narrow search
Showing 1 - 10 of 248
Cover Image
What makes a safe haven? : equity and currency returns for six OECD countries during the financial crisis
Min, Hong-ghi; McDonald, Judith Ann; Shin, Sang-Ook - In: Annals of economics and finance 17 (2016) 2, pp. 365-402
Persistent link: https://www.econbiz.de/10011656925
Cover Image
Africa stock markets cross-market linkages : a time-varying Dynamic Conditional Correlations (DCC-GARCH) approach
Marozva, Godfrey - In: The journal of applied business research 33 (2017) 2, pp. 321-328
Persistent link: https://www.econbiz.de/10011673887
Cover Image
Comovement, liquidity and asymmetries
Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108
Persistent link: https://www.econbiz.de/10012814373
Cover Image
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants
Manera, Matteo; Giovannini, Massimo; Grasso, Margherita; … - 2004
cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We … 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/10011324953
Cover Image
Similarity of emerging market returns under changing market conditions : markets in the ASEAN-4, Latin America, Middle East, and BRICs
Lyócsa, Štefan; Baumöhl, Eduard - In: Economic systems 39 (2015) 2, pp. 253-268
Persistent link: https://www.econbiz.de/10011527515
Cover Image
Short-selling bans and the global financial crisis : are they interconnected?
Bohl, Martin T.; Essid, Badye; Siklos, Pierre L. - In: Applied economics quarterly 64 (2018) 2, pp. 159-177
Persistent link: https://www.econbiz.de/10011975039
Cover Image
A dynamic correlation analysis of financial contagion : evidence from the Eurozone stock markets
Trabelsi, Mohamed Ali; Hmida, Salma - In: Entrepreneurial business and economics review : EBER 6 (2018) 3, pp. 129-141
Persistent link: https://www.econbiz.de/10012025384
Cover Image
Do crude oil prices drive the relationship between stock markets of oil-importing and oil-exporting countries?
Youssegf, Manel; Mokni, Khaled - In: Economies : open access journal 7 (2019) 3/70, pp. 1-22
The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of oil-exporting and oil-importing countries....
Persistent link: https://www.econbiz.de/10012029324
Cover Image
Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We … 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
Modelling the dependence structure between Australian equity and real estate markets : a copula approach
Rong, Ning; Trück, Stefan - In: Australasian accounting business and finance journal : AABF 8 (2014) 5, pp. 93-113
Persistent link: https://www.econbiz.de/10010520425