Similar Search Results

Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis

Kim, Hyun Seok; Min, Hong-ghi; McDonald, Judith Ann - In: Economic modelling 59 (2016), pp. 9-22

Persistent link: https://www.econbiz.de/10011647590

Interrelationship between DAX index and four largest Eastern European stock markets

Živkov, Dejan; Njegić, Jovan; Milenković, Ivan - In: Romanian journal of economic forecasting 21 (2018) 3, pp. 88-103

Persistent link: https://www.econbiz.de/10012021813

Asset pricing with time-varying covariances : evidence for the German stock market

Scheicher, Martin - 1996

Persistent link: https://www.econbiz.de/10000982464

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Semiparametric approaches to the prediction of conditional correlation matrices in finance

Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …

Persistent link: https://www.econbiz.de/10003516408

Modelling nonlinearities in the German stock market

Robé, Sophie - 1999

Persistent link: https://www.econbiz.de/10001356393

Forecasting international equity market volatility : a new approach

Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457

Persistent link: https://www.econbiz.de/10013465704

Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Claessen, Holger; Mittnik, Stefan - 2002

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...

Persistent link: https://www.econbiz.de/10009767118

Comovement in international equity markets : a sectoral view

Berben, R. P.; Jansen, Willem Jos - 2002

Persistent link: https://www.econbiz.de/10001672103

Comovement in international equity markets : a sectoral view

Berben, Robert-Paul; Jansen, Willem Jos - In: Journal of international money and finance 24 (2005) 5, pp. 832-857

Persistent link: https://www.econbiz.de/10002972602