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Detecting contagion with correlation : volatility and timing matter
Dungey, Mardi H.; Yalama, Abdullah - 2010
Persistent link: https://www.econbiz.de/10009384425
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CASSH or ASSH?
Matos, Paulo; Dias, Ingrid; Trompieri, Nicolino - In: The empirical economics letters : a monthly … 13 (2014) 2, pp. 193-200
Persistent link: https://www.econbiz.de/10010392963
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Financial contagion and the TIR-MIDAS model
Ye, Wuyi; Jiang, Kunliang; Liu, Xiaoquan - In: Finance research letters 39 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012805210
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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A nonparametric test for granger causality in distribution with application to financial contagion
Candelon, Bertrand; Tokpavi, Sessi - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 240-253
Persistent link: https://www.econbiz.de/10011691324
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Spatial contagion between financial markets : new evidence of asymmetric measures
Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel - In: Risk management decisions and value under uncertainty, (pp. 1183-1220). 2022
Persistent link: https://www.econbiz.de/10013342100
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The Bitcoin’s network effects paradox : time series analysis
Roussou, Ioanna; Dritsaki, Chaido; Stiakakis, Emmanouil - In: Theoretical economics letters 9 (2019) 6, pp. 1981-2001
Persistent link: https://www.econbiz.de/10012239829
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The role of prices and network effects in the growth of the iPhone platform
Garcia-Swartz, Daniel D.; Muhamedagić, Mensur; Saenz, Diana - In: Technological forecasting & social change : an … 147 (2019), pp. 110-122
Persistent link: https://www.econbiz.de/10012228284
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Smooth marginalized particle filters for dynamic network effect models
Wang, Dieter; Schaumburg, Julia - 2020
We propose the dynamic network effect (DNE) model for the study of high-dimensional multivariate time series data. Cross-sectional dependencies between units are captured via one or multiple observed networks and a low-dimensional vector of latent stochastic network effects. The...
Persistent link: https://www.econbiz.de/10012214446
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Empirical studies on financial stability and natural capital
Wang, Dieter - 2021
Persistent link: https://www.econbiz.de/10012543565