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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
-space parameterization of Markov Regime Switching Model with skew-normal distribution and the Markov Chain Monte Carlo (MCMC) estimation …
Persistent link: https://www.econbiz.de/10013348418
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Interl-inkages between Asia, Europe and US stock markets : a multivariate cointegration analysis
Sakthivel, P.; Kamaiah, Bandi - In: Asian African journal of economics and econometrics 11 (2011) 2, pp. 375-393
Persistent link: https://www.econbiz.de/10009571382
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Inter linkages of Indian stock market with advanced emerging markets
Tripathi, Vanita; Sethi, Shruti - In: The Asian economic review : journal of the Indian … 54 (2012) 3, pp. 507-528
Persistent link: https://www.econbiz.de/10009722191
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A spatial analysis of international stock market linkages
Asgharian, Hossein; Hess, Wolfgang; Liu, Lu - In: Journal of banking & finance 37 (2013) 12, pp. 4738-4754
Persistent link: https://www.econbiz.de/10010342237
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Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes : an application of the trivariate FIEC-FIGARCH model
Liu, Hsiang-hsi - In: Economic modelling 29 (2012) 6, pp. 2724-2733
Persistent link: https://www.econbiz.de/10009673617
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Linkages between Thai stock and foreign exchange markets under the floating regime
Jiranyakul, Komain - In: Journal of financial economic policy 4 (2012) 4, pp. 305-319
Persistent link: https://www.econbiz.de/10009674900
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …
Persistent link: https://www.econbiz.de/10003828611
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Inter Linkages of Indian Stock Market with Advanced Emerging Markets
Tripathi, Vanita - 2012
31 December 2009 using Johansen co-integration test and Granger's causality test. The analysis of daily data shows that …
Persistent link: https://www.econbiz.de/10013098829
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Salmon stock market prices revealing salmon price information
Dahl, Roy Endré; Oglend, Atle; Yahya, Muhammad - In: Marine resource economics 36 (2021) 2, pp. 173-190
Persistent link: https://www.econbiz.de/10012548787
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Information linkages among emerging equity markets : an empirical study
Sehgal, Sanjay; Jain, Payal - In: Decision 44 (2017) 1, pp. 15-38
Persistent link: https://www.econbiz.de/10011703060