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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

On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices

Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267

Persistent link: https://www.econbiz.de/10011498510

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Intra-day realized volatility for European and USA Stock indices

Degiannakis, Stavros; Floros, Christos - In: Global finance journal 29 (2016), pp. 24-41

Persistent link: https://www.econbiz.de/10011714562

Assessing the cross-country interaction of financial cycles : evidence from a multivariate spectral analysis of the US and the UK

Strohsal, Till; Proaño Acosta, Christian; Wolters, Jürgen - 2017

In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...

Persistent link: https://www.econbiz.de/10011710009

Do survey indicators let us see the business cycle? : a frequency decomposition

Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

Persistent link: https://www.econbiz.de/10011610229