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Caporale, Guglielmo Maria
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Lux, Thomas
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36
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Research paper series / Swiss Finance Institute
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The European journal of finance
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1
Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting
Afonso, António
;
Beck, Krzysztof
;
Jackson, Karen
-
2022
current
correlation
being the best single predictor of the future stock market
correlation
(2) positive impact of the market …
Persistent link: https://www.econbiz.de/10013380503
Saved in:
2
Covariance Forecasting in Equity Markets
Symitsi, Efthymia
-
2018
We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...
Persistent link: https://www.econbiz.de/10012915984
Saved in:
3
Exogenous variables in dynamic conditional
correlation
models for financial markets
Schopen, Jan-Hendrik
-
2012
Dynamic
correlation
, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …
Persistent link: https://www.econbiz.de/10009698136
Saved in:
4
Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos
;
Yfanti, Stavroula
;
Karoglou, Michail
- In:
International review of financial analysis
45
(
2016
),
pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
Saved in:
5
Dynamic cross-
correlation
and dynamic contagion of stock markets : a sliding windows approach with the DCCA
correlation
coefficient
Tilfani, Oussama
;
Ferreira, Paulo
;
El Boukfaoui, My Youssef
- In:
Empirical economics : a quarterly journal of the …
60
(
2021
)
3
,
pp. 1127-1156
Persistent link: https://www.econbiz.de/10012490509
Saved in:
6
Gold, oil, and stocks : dynamic correlations
Baruník, Jozef
;
Kočenda, Evžen
;
Vácha, Lukáš
-
2015
in specific
correlation
dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010515402
Saved in:
7
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
Saved in:
8
Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar
;
Barunik, Jozef
-
2015
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...
Persistent link: https://www.econbiz.de/10010499593
Saved in:
9
HighFrequencyCovariance : A Julia Package for Estimating Covariance Matrices Using High Frequency Financial Data
Baumann, Stuart
;
Klymak, Margaryta
-
2021
for volatility,
correlation
and covariance using high frequency financial data. It also implements complementary …
Persistent link: https://www.econbiz.de/10013237488
Saved in:
10
Asset Allocation in Markets with Contagion : The Interplay between Volatilities, Jump Intensities, and Correlations
Konermann, Patrick
-
2013
, a state-dependent diffusion
correlation
combined with heterogeneity in jump intensities and volatilities can, e …
Persistent link: https://www.econbiz.de/10013092095
Saved in:
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