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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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The effect of alternative measures of distance on the correlation of real effective exchange rate returns : an approach to contagion analysis
Coulom, Jean; Shenai, Vijay - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-18
the correlation of real exchange rate returns to assess their predictive power. Using a sample of 30 countries for a … analysis are that there is a negative effect of all the three explanatory variables on the correlation of real exchange rate …
Persistent link: https://www.econbiz.de/10011964042
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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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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
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Contagion among select global equity markets : a time-frequency analysis
Bhandari, Avishek; Kamaiah, Bandi - In: Global economy journal : GEJ 19 (2019) 4, pp. 1950023-1-29
Persistent link: https://www.econbiz.de/10012214476
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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...
Persistent link: https://www.econbiz.de/10010491085
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
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Topological network analysis based on dissimilarity measure of multivariate time series evolution in the subprime crisis
Mansooreh Kazemilari; Mohamadi, Ali - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-16
Correlation network based on similarity is the common approach in financial network analyses where the Minimal Spanning … considering each region, which is composed of a number of currencies, as an element on the financial system, we attempted to … determine how a region interacts with the other regions in crisis periods. This motivated us to introduce a region-based network …
Persistent link: https://www.econbiz.de/10011883268
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Spatial contagion between financial markets : new evidence of asymmetric measures
Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel - In: Risk management decisions and value under uncertainty, (pp. 1183-1220). 2022
Persistent link: https://www.econbiz.de/10013342100