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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …
Persistent link: https://www.econbiz.de/10011471074
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Alternative GMM estimators for spatial regression models
Breitung, Jörg; Wigger, Christoph - In: Spatial economic analysis : the journal of the Regional … 13 (2018) 2, pp. 148-170
Persistent link: https://www.econbiz.de/10011870482
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Unobserved components models with stochastic volatility for extracting trends and cycles in credit
O'Brien, Martin; Velasco, Sofia - 2020
Persistent link: https://www.econbiz.de/10012793058
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Spatial dependence in house prices : evidence from China's interurban housing market
Gong, Yunlong; Boelhouwer, Peter J.; Haan, Jan de - 2014
autocorrelation of house prices and explanatory variables within larger distances, whereas the significant spatial autocorrelation of …
Persistent link: https://www.econbiz.de/10011495528
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Comovement and disintegration of EU sovereign bond markets during the crisis
Vácha, Lukáš; Šmolík, Filip; Baxa, Jaromír - In: International review of economics & finance : IREF 64 (2019), pp. 541-556
Persistent link: https://www.econbiz.de/10012372853
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The application of multiple-output quantile regression on the US financial cycle
Franta, Michal - 2023
Persistent link: https://www.econbiz.de/10014233992
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Transmission channels of systemic risk : a system wide perspective
Podlich, Natalia - 2016
Persistent link: https://www.econbiz.de/10011551891
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Differences in carbon risk spillovers with green versus traditional assets : evidence from a full distributional analysis
Duan, Kun; Yang, Liu; Yan, Cheng; Huang, Yingying - In: Energy economics 127 (2023) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10014488701
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Market linkages, variance spillovers and correlation stability : empirical evidence of financial contagion
Billio, Monica; Caporin, Massimiliano - 2007
American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a … correlation matrix distance, which allows both a graphical analysis and the development of a statistical test of correlation …
Persistent link: https://www.econbiz.de/10003912121
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Regional economic convergence and spatial spillovers in Turkey
Kındap, Ahmet; Doğan, Tayyar - In: International econometric review 11 (2019) 1, pp. 1-23
evidence for the existence of spatial autocorrelation in regional income distribution. …
Persistent link: https://www.econbiz.de/10012040046