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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

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

Are Islamic investments still safe assets during the COVID-19 pandemic?

Khan, Ashraf; Piserà, Stefano; Chiaramonte, Laura; … - In: Review of financial economics : RFE 40 (2022) 3, pp. 281-299

Persistent link: https://www.econbiz.de/10013331031

Asymmetric correlation of sovereign bond yield dynamics in the Eurozone

Dajcman, Silvo - In: Panoeconomicus 60 (2013) 6, pp. 775-789

Persistent link: https://www.econbiz.de/10010341632

Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR

Choi, Ji-Eun; Shin, Dong-wan - In: The European journal of finance 25 (2019) 18, pp. 1817-1833

Persistent link: https://www.econbiz.de/10012207151

Asymmetric Correlation of Sovereign Bond Yield Dynamics in the Eurozone

Dajcman, Silvo - In: Panoeconomicus 60 (2013) 6, pp. 775-789

This paper examines the symmetry of correlation of sovereign bond yield dynamics between eight Eurozone countries (Austria, Belgium, France, Germany, Ireland, Italy, Portugal, and Spain) in the period from January 3,2000 to August 31, 2011. Asymmetry of correlation is investigated pair-wise by...

Persistent link: https://www.econbiz.de/10010857996

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

Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling

Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38

Persistent link: https://www.econbiz.de/10010520086

Financial stress spillovers in advanced economies

Apostolakis, George; Papadopoulos, Athanasios P. - In: Journal of international financial markets, … 32 (2014), pp. 128-149

Persistent link: https://www.econbiz.de/10011299800

Hedge fund systemic risk signals

Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291

Persistent link: https://www.econbiz.de/10010361715

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