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Cross-country stock market comovement : a macro perspective
Anagnostopoulos, Alexios; Atesagaoglu, Orhan Erem; … - 2021
Persistent link: https://www.econbiz.de/10012499737
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European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 : a comparative DCC-GARCH and wavelet correlation analysis
Dajcman, Silvio; Festić, Mejra; Kavkler, Alenka - In: Applied economics letters 19 (2012) 13/15, pp. 1249-1256
Persistent link: https://www.econbiz.de/10009680562
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CAPM : Correlation and Regression 10 Stocks Comparing With Market Index
Hiranto, Pattaraporn - 2019
This study presents the correlation and regression between ten different selected stocks which are Berkshire Hathaway … correlation and regression methods. This process has improved the abilities and allow to discovery of the correlation between … those markets. Hence the correlation and regression method can be used to find the company's performance with the overall …
Persistent link: https://www.econbiz.de/10012894507
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, M. Hashem - 2010
Persistent link: https://www.econbiz.de/10003981032
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. 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/10003965868
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International stock market indices comovements : a new look
Madaleno, Mara; Pinho, Carlos - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 89-102
Persistent link: https://www.econbiz.de/10009507847
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On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian; Stürmer, Karin; Rittler, Daniel - In: Journal of empirical finance 29 (2014), pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Disequilibria and contagion in financial markets : evidence from a new test
De Angelis, Luca; Gardini, Attilio - In: Journal of applied economics 18 (2015) 2, pp. 247-265
Persistent link: https://www.econbiz.de/10011554982