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A flexible dynamic correlation model
Baur, Dirk - 2006
Persistent link: https://www.econbiz.de/10003331350
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The persistence and asymmetry of time-varying correlations
Baur, Dirk G. (contributor) - 2005
Persistent link: https://www.econbiz.de/10009232806
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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
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The persistence and asymmetry of time-varying correlations
Baur, Dirk G. - 2002
Persistent link: https://www.econbiz.de/10013268791
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The impact of German macroeconomic data announcements on the Czech financial market
Moravcová, Michala - 2015
generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory …
Persistent link: https://www.econbiz.de/10011317142
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Time-varying comovements in developed and emerging European stock markets : evidence from intraday data
Égert, Balázs (contributor); Kočenda, Evžen (contributor) - 2007
Persistent link: https://www.econbiz.de/10003454451
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Correlation dynamics in European equity markets
Kearney, Colm; Potì, Valerio - In: Research in international business and finance 20 (2006) 3, pp. 305-321
Persistent link: https://www.econbiz.de/10003377102
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Time-varying synchronization of European stock markets
Égert, Balázs; Kočenda, Evžen - In: Empirical economics : a journal of the Institute for … 40 (2011) 2, pp. 393-407
Persistent link: https://www.econbiz.de/10008987463
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Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - 2010
Persistent link: https://www.econbiz.de/10009240321
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On quantitative easing and high frequency exchange rate dynamics
Kenourgios, Dimitris; Papadamou, Stephanos; Dimitriou, … - In: Research in international business and finance 34 (2015), pp. 110-125
Persistent link: https://www.econbiz.de/10011325751