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A flexible dynamic correlation model
Baur, Dirk - 2006
Persistent link: https://www.econbiz.de/10003331350
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
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Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel - 2020
Persistent link: https://www.econbiz.de/10012488824
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A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
Ejaz, Abdullah; Polak, Petr; Imran, Zulfiqar Ali - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200
Persistent link: https://www.econbiz.de/10012659646
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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
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Flexible dynamic consitional correlation multivariate GARCH models for asset allocation
Billio, Monica (contributor); Gobbo, Michele (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003376752
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Sequential conditional correlations : inference and evaluation
Palandri, Alessandro - In: Journal of econometrics 153 (2009) 2, pp. 122-132
Persistent link: https://www.econbiz.de/10003920281
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The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection
Galeano, Pedro; Ausín, M. Concepción - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 559-571
Persistent link: https://www.econbiz.de/10008736138
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Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya; Schoutens, Wim - 2008
Persistent link: https://www.econbiz.de/10003709746