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Analysis of dynamic correlation of Japanese stock returns with network clustering

Isogai, Takashi - In: Asia-Pacific financial markets 24 (2017) 3, pp. 193-220

Persistent link: https://www.econbiz.de/10011797666

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

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

Can we still benefit from international diversification? : the case of the Czech and German stock markets

Avdulaj, Krenar; Barunik, Jozef - In: Finance a úvěr 63 (2013) 5, pp. 425-442

Persistent link: https://www.econbiz.de/10010244836

Co-movement of stock and bond returns in the light of the recent crisis

Schlepper, Kathi - In: Essays on current phenomena and developments in …, (pp. 69-125). 2016

Persistent link: https://www.econbiz.de/10011545666

EU stock markets vs. Germany, UK and US : analysis of dynamic comovements using time-varying DCCA correlation coefficients

Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of risk and financial management : JRFM 13 (2020) 5/91, pp. 1-23

-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on … a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the …

Persistent link: https://www.econbiz.de/10012304724

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: International review of economics & finance : IREF 42 (2016), pp. 186-201

Persistent link: https://www.econbiz.de/10011625108

Can risk-rebalancing explain the negative correlation between stock return differential and currency? : or, does source status drive it?

Ülkü, Numan; Fatullayev, Sabutay; Diachenko, Daria - In: Journal of financial markets 27 (2016), pp. 28-54

Persistent link: https://www.econbiz.de/10011722217

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

Risk synchronization in international stock markets

Chuliá, Helena; Pinchao, Andrés D.; Uribe, Jorge - In: Global economic review 47 (2018) 2, pp. 135-150

Persistent link: https://www.econbiz.de/10011890036

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