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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
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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
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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
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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
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Dynamic correlation analysis of financial contagion : evidence from the Central and Eastern European markets
Syllignakis, Manolis N.; Kouretas, Georgios P. - In: International review of economics & finance : IREF 20 (2011) 4, pp. 717-732
Persistent link: https://www.econbiz.de/10009303872
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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
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Determinants of stock market comovements among US and emerging economies during the US financial crisis
Hwang, Eugene; Min, Hong-ghi; Kim, Bonghan; Kim, Hyeongwoo - In: Economic modelling 35 (2013), pp. 338-348
Persistent link: https://www.econbiz.de/10010259814
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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
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The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages
Liow, Kim Hiang - In: Journal of property investment & finance 32 (2014) 6, pp. 610-641
Persistent link: https://www.econbiz.de/10010416248
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How smooth is the stock market integration of CEE-3?
Baumöhl, Eduard; Lyócsa, Štefan - 2014
Persistent link: https://www.econbiz.de/10010412920