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markets using a flexible approach that allows us to investigate whether the co-movement is : (i) symmetric and occurring most … dependence may lead to wrong evidence of asymmetry. Third, a growing comovement between industrial metals and equity markets is … identified as early as in 2003, a comovement that spreads to all commodity classes and becomes unambiguously stronger with the …
Persistent link: https://www.econbiz.de/10010607535
using a flexible approach that allows us to investigate whether the co-movement is: (i) symmetrical and frequent, (ii) (a … lead to false evidence of asymmetry. Third, a growing co-movement between industrial metals and equity markets is … identified as early as 2003; this co-movement spreads to all commodity classes and becomes unambiguously stronger with the global …
Persistent link: https://www.econbiz.de/10010709504
markets using a flexible approach that allows us to investigate whether the co-movement is: (i) symmetric and occurring most … dependence may lead to wrong evidence of asymmetry. Third, a growing comovement between industrial metals and equity markets is … identified as early as in 2003, a comovement that spreads to all commodity classes and becomes unambiguously stronger with the …
Persistent link: https://www.econbiz.de/10011084009
Persistent link: https://www.econbiz.de/10010343717
markets using a flexible approach that allows us to investigate whether the co-movement is : symmetric and occurring most of … to wrong evidence of asymmetry. Third, a growing co-movement between industrial metals and equity markets is identified … as early as in 2003, a co-movement that spreads to all commodity classes and becomes unambiguously stronger with the …
Persistent link: https://www.econbiz.de/10013104023
markets using a flexible approach that allows us to investigate whether the co-movement is: symmetric and occurring most of … to wrong evidence of asymmetry. Third, a growing comovement between industrial metals and equity markets is identified as … early as in 2003, a comovement that spreads to all commodity classes and becomes unambiguously stronger with the global …
Persistent link: https://www.econbiz.de/10013087173
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10001914155
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10011402721
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10010315819
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10005249463