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Self-fulfillment degree of economic expectations within an integrated space : the European Union case study

Dobrescu, Emilian M. - In: Romanian journal of economic forecasting 23 (2020) 4, pp. 5-32

Persistent link: https://www.econbiz.de/10012424385

Relationship between crude oil price changes and airlines stock price : the case of Indian aviation industry

Kathiravan, Chinnadurai; Selvam, Murugesan; Maniam, … - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 5, pp. 7-13

Persistent link: https://www.econbiz.de/10012425024

Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates

Lee, Yuan-Ming; Wang, Kuan Min - In: Economic research 28 (2015) 1, pp. 749-772

Persistent link: https://www.econbiz.de/10012220934

Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market

Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies : … 28 (2020) 3, pp. 107-122

dynamic conditional correlation model. The estimation of vector autoregression models reveals that changes in liquid CDS (LCDS … correlation analysis also confirms the main results. …

Persistent link: https://www.econbiz.de/10012592651

The local currency oil price and food price relationship for Turkey : a dynamic correlation and time-frequency dependency analysis

Ertuğrul, Hasan Murat - In: International journal of monetary economics and finance … 14 (2021) 3, pp. 233-248

Persistent link: https://www.econbiz.de/10012596111

Overlap in observational studies with high-dimensional covariates

D'Amour, Alexander; Ding, Peng; Feller, Avi; Lei, Lihua; … - In: Journal of econometrics 221 (2021) 2, pp. 644-654

Persistent link: https://www.econbiz.de/10012619253

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

Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries : two types of wavelet analysis

Jiang, Zhuhua; Yoon, Seong-min - In: Energy economics 90 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012517570

The short-term mean reversion of stock price and the change in trading volume

Jung, Woosung; Kang, Mhin - In: Journal of derivatives and quantitative studies : … 29 (2021) 3, pp. 190-214

effect of change in trading volume is excluded from the return of a stock with a significant contemporaneous correlation … structure because of the contemporaneous correlation between return and change in trading volume. This conclusion suggests that …

Persistent link: https://www.econbiz.de/10012658724

Causal nexus between crude, gold, dollar and stock markets in India : empirical explorations before, during and after the Global Recession

Saji, T. G. - In: The Indian economic journal 69 (2021) 4, pp. 688-704

Persistent link: https://www.econbiz.de/10012794164