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Forecasting international stock market correlations : does anything beat a CCC?
Manner, Hans; Reznikova, Olga - 2010
It is well known that the correlation between financial series varies over time. Here, the forecasting performance of … different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock … market indices. In contrast to previous studies only the correlation and not the entire covariance matrix is forecasted and …
Persistent link: https://www.econbiz.de/10008939359
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Term structure of return correlations and international diversification : evidence from European stock markets
Pan, Ming-Shiun; Liu, Y. Angela; Roth, Herbert J. - In: The European journal of finance 7 (2001) 2, pp. 144-164
Persistent link: https://www.econbiz.de/10001603199
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Exogenous variables in dynamic conditional correlation models for financial markets
Schopen, Jan-Hendrik - 2012
Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …
Persistent link: https://www.econbiz.de/10009698136
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Why are there time-varying comovements in the European stock market?
Ferreira, Eva; Orbe-Mandaluniz, Susan - In: The European journal of finance 24 (2018) 10/12, pp. 828-848
Persistent link: https://www.econbiz.de/10012244414
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Long monthly European temperature series and the North Atlantic Oscillation
He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - 2023
Persistent link: https://www.econbiz.de/10014281994
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Long monthly European temperature series and the North Atlantic Oscillation
He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - In: Energy economics 126 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014481089
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On modelling and forecasting predictable components in European stock markets
Kiani, Khurshid M. - In: Computational economics 48 (2016) 3, pp. 487-502
Persistent link: https://www.econbiz.de/10011712528
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The Microstructure of European Bond Markets : Organization, Price Formation, and Cost of Liquidity
Flögel, Volker (contributor) - 2006
Persistent link: https://www.econbiz.de/10013520964
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The microstructure of European bond markets : organization, price formation, and cost of liquidity
Flögel, Volker - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003307883
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Public debt management and foreign currency denominated bonds
Ceccacci, Silvia; Marchesiani, Alessandro; Pecchi, Lorenzo - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 763-770
Persistent link: https://www.econbiz.de/10003564628