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A long-run pure variance common features model for the common volatilities of the Dow Jones

Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42

Persistent link: https://www.econbiz.de/10003320235

System identification in noisy data environments : an application to six Asian stock markets

Los, Cornelis Albertus - In: Journal of banking & finance 30 (2006) 7, pp. 1997-2024

Persistent link: https://www.econbiz.de/10003339497

The nonsubstitutability of market indices and other shortcomings of betas estimation : a note

Kochman, Ladd Michael; Badarinathi, Ravija - In: Journal of business and economic perspectives 31 (2005) 2, pp. 72-74

Persistent link: https://www.econbiz.de/10003340221

A flexible dynamic correlation model

Baur, Dirk - 2006

Persistent link: https://www.econbiz.de/10003331350

Revisiting stock market index correlations

Dalkir, Mehmet - In: Finance research letters 6 (2009) 1, pp. 23-33

Persistent link: https://www.econbiz.de/10003834754

Structural dynamic conditional correlation

Weber, Enzo - 2008

structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …