Narrow search
Showing 1 - 3 of 3
Cover Image
Contagion in futures metal markets during the recent global financial crisis : evidence from Gold, Silver, Copper, Zinc and Aluminium
Tsiaras, Konstantinos - In: Spoudai : journal of economics and business 70 (2020) 3/4, pp. 42-55
This paper seeks to investigate the time-varying dynamic conditional correlations to the five most important future metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized ARCH (FIGARCH) dynamic conditional correlation (cDCC)...
Persistent link: https://www.econbiz.de/10012427825
Cover Image
Contagion in futures metal markets during the recent global financial crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium
Tsiaras, Konstantinos - In: SPOUDAI - Journal of Economics and Business 70 (2020) 3/4, pp. 42-55
This paper seeks to investigate the time-varying dynamic conditional correlations to the five most important future metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized ARCH (FIGARCH) dynamic conditional correlation (cDCC)...
Persistent link: https://www.econbiz.de/10014477241
Cover Image
Contagion in major CDS markets for the post Global Financial Crisis : a multivariate AR-FIGARCH-cDCC approach
Tsiaras, Konstantinos; Simos, Theodore - In: Argomenti : rivista di economia, cultura e ricerca sociale 16 (2020), pp. 79-99
Persistent link: https://www.econbiz.de/10012643923