Narrow search
Showing 1 - 10 of 35,470
Cover Image
EU stock markets vs. Germany, UK and US : analysis of dynamic comovements using time-varying DCCA correlation coefficients
Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of risk and financial management : JRFM 13 (2020) 5/91, pp. 1-23
-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on … a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the … debt crisis, and Brexit. The results suggest that Germany and other Eurozone countries generally share high levels of …
Persistent link: https://www.econbiz.de/10012304724
Cover Image
From Black Wednesday to Brexit : macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom
Gottschalk, Sylvia - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2843-2873
Persistent link: https://www.econbiz.de/10014327598
Cover Image
Variability of dynamic correlation : the evidence of sector-specific shocks in V4 countries
Poměnková, Jitka; Kapounek, Svatopluk; Maršálek, Roman - In: Prague economic papers : a bimonthly journal of … 23 (2014) 3, pp. 371-387
Persistent link: https://www.econbiz.de/10011285620
Cover Image
Measuring the natural rates of interest in Germany and Italy
Bystrov, Victor - In: Central European journal of economic modelling and … 10 (2018) 4, pp. 333-353
Persistent link: https://www.econbiz.de/10012294400
Cover Image
Measuring the natural rates of Interest in Germany and Italy
Bystrov, Victor - 2018
Persistent link: https://www.econbiz.de/10012174332
Cover Image
The behavior of interest rates and credit flows : persistence and cycles
Busch, Ulrike - 2011
Persistent link: https://www.econbiz.de/10009490397
Cover Image
Effects of MILA on their stock markets : an empirical analysis on market activity and dynamic correlations
Muñoz-Mendoza, Jorge Andrés; Sepúlveda-Yelpo, Sandra … - In: International journal of emerging markets 17 (2022) 2, pp. 574-599
Persistent link: https://www.econbiz.de/10012886402
Cover Image
Cross-border banking and transmission mechanisms in Europe : evidence from German data
Buch, Claudia M. - In: Applied financial economics 14 (2004) 16, pp. 1137-1149
Persistent link: https://www.econbiz.de/10002408911
Cover Image
Change-Point Detection in the Covariance Structure of Multivariate Volatility Models
Barassi, Marco R. - 2017
conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …
Persistent link: https://www.econbiz.de/10012945121
Cover Image
Dependence between Croatian and European Stock Markets – A Copula GARCH Approach
Dajčman, Silvo - 2013
The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the...
Persistent link: https://www.econbiz.de/10013071482