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Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates
Baillie, Richard; Cecen, A. A.; Erkal, Cahit; Han, … - In: Journal of international financial markets, … 14 (2004) 5, pp. 401-418
Persistent link: https://www.econbiz.de/10002186598
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Conditional correlated jump dynamics in foreign exchange
Chan, Wing Hong - In: Economics letters 83 (2004) 1, pp. 23-28
Persistent link: https://www.econbiz.de/10001967528
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Dynamic correlations in bond markets between US and emerging countries
Yeh, Chun-Chieh; Chiu, Chien-Liang; Chang, Tsangyao - In: Applied economics letters 28 (2021) 16, pp. 1371-1376
Persistent link: https://www.econbiz.de/10012609680
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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
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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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An empirical study of the dynamic correlation of Japanese stock returns
Isogai, Takashi - 2015
Persistent link: https://www.econbiz.de/10012178381
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Dynamics of foreign exchange implied volatility and implied correlation surfaces
Beer, Simone; Fink, Holger Maria - In: Quantitative finance 19 (2019) 8, pp. 1293-1320
Persistent link: https://www.econbiz.de/10012194789
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Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014534822
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Effects of MILA on their stock markets : an empirical analysis on market activity and dynamic correlations
Muñoz-Mendoza, Jorge Andrés; Sepúlveda-Yelpo, Sandra … - In: International journal of emerging markets 17 (2022) 2, pp. 574-599
Persistent link: https://www.econbiz.de/10012886402