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Using local Gaussian correlation in a nonlinear re-examination of financial contagion
Støve, Bård; Tjostheim, Dag; Hufthammer, Karl Ove - In: Journal of empirical finance 25 (2014), pp. 62-82
Persistent link: https://www.econbiz.de/10010462084
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State correlation and forecasting : a Bayesian approach using unobserved components models
Uzeda, Luis - In: Essays in honour of Fabio Canova, (pp. 25-53). 2022
Persistent link: https://www.econbiz.de/10013443965
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Eigen-analysis for high-dimensional time series clustering
Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2023
Persistent link: https://www.econbiz.de/10014452611
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Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437486
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Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
Yamauchi, Yuta; Omori, Yasuhiro - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
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Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han; Fei, Yijie; Yu, Jun - 2023
Persistent link: https://www.econbiz.de/10014329798
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Correlation meets causality : a holistic measure of financial contagion
Sencer Atasoy, Burak; Ozkan, Ibrahim - In: Finance research letters 65 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014552747
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Contagion effect of the oil shock and US financial crisis on the GCC and BRIC countries
Ghorbel, Achraf; Boujelbene, Younes - In: International journal of energy sector management : IJESM 7 (2013) 4, pp. 430-447
Persistent link: https://www.econbiz.de/10010222996
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Variable selection and estimation in high-dimensional models
Horowitz, Joel - In: The Canadian journal of economics 48 (2015) 2, pp. 389-407
Persistent link: https://www.econbiz.de/10011568501