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Multivariate high-frequency-based volatility (HEAVY) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2011
Persistent link: https://www.econbiz.de/10008842201
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Relationship between Czech and European developed stock markets : DCC MV GARCH analysis
Princ, Michael - 2010
The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...
Persistent link: https://www.econbiz.de/10008655628
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Dynamics of the co-movement between stock and maritime markets
Erdogan, Oral; Tata, Kenan; Karahasan, B. Can; Sengoz, … - In: International review of economics & finance : IREF 25 (2013), pp. 282-290
Persistent link: https://www.econbiz.de/10009693298
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The persistence and asymmetry of time-varying correlations
Baur, Dirk G. (contributor) - 2005
Persistent link: https://www.econbiz.de/10009232806
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Exchange rate shocks and trade : a multivariate GARCH-M approach
Grier, Kevin; Smallwood, Aaron D. - In: Journal of international money and finance 37 (2013), pp. 282-305
Persistent link: https://www.econbiz.de/10010209078
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Multivariate high-frequency-based volatility (heavy) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 27 (2012) 6, pp. 907-933
Persistent link: https://www.econbiz.de/10010219743
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Globalization and emerging stock market integration : evidence from a FIVECEM-MGARCH model
Chen, Heng; Lobo, Bento J.; Wong, Wing Keung - In: Global review of business and economic research 11 (2015) 2, pp. 153-171
Persistent link: https://www.econbiz.de/10011675506
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Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model
Chen, Rongda; Xu, Jianjun - In: Energy economics 78 (2019), pp. 379-391
Persistent link: https://www.econbiz.de/10012159962
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The risk-return tradeoff in international stock markets : one-step multivariate GARCH-M estimation with many assets
Dhaene, Geert; Sercu, Piet; Wu, Jianbin - 2016
Persistent link: https://www.econbiz.de/10011707065