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International financial integration and risk sharing among countries : a production-based approach
Kim, H. Youn - In: Journal of the Japanese and international economies : … 31 (2014), pp. 16-35
Persistent link: https://www.econbiz.de/10010341428
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Disequilibria and contagion in financial markets : evidence from a new test
De Angelis, Luca; Gardini, Attilio - In: Journal of applied economics 18 (2015) 2, pp. 247-265
Persistent link: https://www.econbiz.de/10011554982
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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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Measuring systemic risk : a factor-augmented correlated default approach
Suh, Sangwon - In: Journal of financial intermediation 21 (2012) 2, pp. 341-358
Persistent link: https://www.econbiz.de/10009708412
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Are correlations constant over time? : application of the CC-TRIGt-test to return series from different asset classes
Fischer, Matthias (contributor) - 2007
A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as … & Rouwenhorst, 2005) specify the unknown correlations as piecewise constant, our model-setup for the correlation coefficient is … correlation ; trigonometric functions …
Persistent link: https://www.econbiz.de/10003633489
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...
Persistent link: https://www.econbiz.de/10012486245
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High-Income countries and the Feldstein-Horioka puzzle : econometric evidence from dynamic common-correlated effects model
Özdemir, Onur - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10013411683
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Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo; Chi, Xie; Cong, Yu; Yan, Xu - In: Economic modelling 51 (2015), pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
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Financial and trade integration of selected EU regions : dynamic correlation and wavelet approach
Kučerová, Zuzana; Poměnková, Jitka - In: Ekonomický časopis : časopis pre ekonomickú … 63 (2015) 7, pp. 686-704
Persistent link: https://www.econbiz.de/10011390019
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Asymmetric correlations in gold and other financial markets
Miyazaki, T.; Hamori, Shigeyuki - In: Applied economics 48 (2016) 46/48, pp. 4419-4425
Persistent link: https://www.econbiz.de/10011640106