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Bayesian analysis of asymmetric stochastic conditional duration model
Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of forecasting 34 (2015) 1, pp. 36-56
Persistent link: https://www.econbiz.de/10011305352
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Dependency relations among international stock market indices
Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265
We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …
Persistent link: https://www.econbiz.de/10011545240
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Correlation evidence in the dynamics of agricultural commodity prices
Boroumand, Raphaël Homayoun; Goutte, Stephane; … - In: Applied economics letters 21 (2014) 16/18, pp. 1238-1242
Persistent link: https://www.econbiz.de/10010465638
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The comparison study of liquidity measurements on the Chinese stock markets
Gao, Yang; Zhao, Wandi; Wang, Mingjin - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 2, pp. 483-511
Persistent link: https://www.econbiz.de/10012802098
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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - 2021 - This draft: 21 January 2021
Persistent link: https://www.econbiz.de/10012608826
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Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...
Persistent link: https://www.econbiz.de/10012599014
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Causality between corruption and the level of GDP
Lučić, Danilo; Radišić, Mladen; Dobromirov, Dušan - In: Economic research 29 (2016) 1, pp. 360-379
Persistent link: https://www.econbiz.de/10012221624
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …
Persistent link: https://www.econbiz.de/10012813273
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Zero-coupon interest rates : evaluating three alternative datasets
Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018
The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...
Persistent link: https://www.econbiz.de/10011901875
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Phillips curve is a particular case that economists misinterpret the correlation between two dependent variables for causal relation
Ting, Chao Chiung - In: International journal of economics and finance 10 (2018) 11, pp. 70-94
Persistent link: https://www.econbiz.de/10011949482