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Financial conditions indexes for Asian economies
Debuque-Gonzales, Margarita; Socorro Gochoco-Bautista, Maria - 2013
Financial conditions indexes (FCIs) are constructed for five Asian economies, namely, Hong Kong, China; Japan; the Republic of Korea; Malaysia; and Singapore, using a principal component analysis (PCA) methodology from Hatzius et al. (2010) and quarterly data. Various financial stress indicators are...
Persistent link: https://www.econbiz.de/10009734252
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Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Hien, Pham Thu; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10014284447
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Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with …
Persistent link: https://www.econbiz.de/10012433164
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Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10011906446
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An analysis of CEE equity market integration and their volatility spillover effects
In: European Journal of Management and Business Economics … 29 (2020) 1, pp. 23-40
/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the … multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature …
Persistent link: https://www.econbiz.de/10013193224
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Global and regional volatility spillovers to GCC stock markets
Alotaibi, Abdullah R.; Mishra, Anil V. - In: Economic modelling 45 (2015), pp. 38-49
Persistent link: https://www.econbiz.de/10011334180
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A multivariate analysis of United States and global real estate investment trusts
Begiazi, Kyriaki; Asteriou, Dimitrios; Pilbeam, Keith - In: International economics and economic policy : IEEP 13 (2016) 3, pp. 467-482
Persistent link: https://www.econbiz.de/10011714591
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The linkage between stock and inter-bank bond markets in China : a dynamic conditional correlation (DCC) analysis
Hassanein, Ahmed; Elgohari, Hanaa - In: International journal of economics and business … 20 (2020) 1, pp. 80-99
Persistent link: https://www.econbiz.de/10012271095
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MGARCH models: trade-off between feasibility and flexibility
Almeida, Daniel de; Hotta, Luiz K.; Ruiz, Esther - In: International journal of forecasting 34 (2018) 1, pp. 45-63
Persistent link: https://www.econbiz.de/10012030840
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Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics 3 (2015) 2, pp. 215-232
correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …
Persistent link: https://www.econbiz.de/10011227996