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Large and small cap stocks in Europe : covariance asymmetry, volatility spillovers and beta estimates
Chuliá, Helena; Torró, Hipòlit - In: Advances in risk management, (pp. 327-352). 2007
Persistent link: https://www.econbiz.de/10003401630
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The impact of quantitative easing on asset price comovement
Williams, Michael - In: International financial markets, (pp. 139-163). 2013
Persistent link: https://www.econbiz.de/10010204756
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A flexible dynamic correlation model
Baur, Dirk - 2006
Persistent link: https://www.econbiz.de/10003331350
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Univariate und Multivariate Modellierung täglicher Volatilitäten von Rohstoff-Futures
Füss, Roland; Glück, Thorsten; Tilmes, Rolf - In: Management von Rohstoffrisiken : Strategien, Märkte …, (pp. 425-441). 2010
Persistent link: https://www.econbiz.de/10003902619
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A DCC-VARMA model of portfolio risk : a simple approach to the estimation of the variance-covariance matrix of large stock portfolios
Potì, Valerio - In: Stock market volatility, (pp. 135-145). 2009
Persistent link: https://www.econbiz.de/10003830410
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VaR in high dimensional systems : a conditional correlation approach
Herwartz, Helmut; Pedrinha, Bruno - In: Applied quantitative finance, (pp. 83-102). 2009
Persistent link: https://www.econbiz.de/10003745954
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Overlaying time scales in financial volatility data
Hillebrand, Eric - 2006
Persistent link: https://www.econbiz.de/10003350088
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On the performances of dynamic conditional correlation models in the sovereign CDS market and the corresponding bond market
Sabkha, Saker - In: Financial and economic systems : transformations and …, (pp. 187-212). 2021
Persistent link: https://www.econbiz.de/10012600056
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Financial econometrics and systemic risk
Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021
In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...
Persistent link: https://www.econbiz.de/10012604203
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High frequency correlation modelling
Huth, Nicolas; Abergel, Frédéric - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 189-202). 2011
Persistent link: https://www.econbiz.de/10009349702