Similar Search Results

A Test for Long Memory in the Conditional Correlation of Bivariate Returns to Stock and Bond Market Index Futures

Butler, Kirt C.; Gerken, William Christopher; Okada, … - 2016

conditional correlation approach. We find that cross-products are indeed long memory processes, but that this feature arises from … long memory in conditional volatilities and not from long memory in conditional correlation …

Persistent link: https://www.econbiz.de/10014179077

US stock market and macroeconomic factors

Jareño, Francisco; Negrut, Loredana - In: The journal of applied business research 32 (2016) 1, pp. 325-340

Persistent link: https://www.econbiz.de/10011436617

Realized volatility analysis from various perspectives based on Hilbert Huang transform

Hou, Sizhe; Chen, Jiangrui; Yin, Lianqian; Zhang, Wei; … - In: International journal of economics and finance 7 (2015) 12, pp. 189-199

Persistent link: https://www.econbiz.de/10011411813

Determinants of equity return correlations : a case study of the Amman Stock Exchange

Alomari, Mohammad; Power, David M.; Tantisantiwong, Nongnuch - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 33-66

Persistent link: https://www.econbiz.de/10011979091

Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis

Kim, Hyun Seok; Min, Hong-ghi; McDonald, Judith Ann - In: Economic modelling 59 (2016), pp. 9-22

Persistent link: https://www.econbiz.de/10011647590

The role of investor sentiment in the long-term correlation between U.S. stock and bond markets

Fang, Libing; Yu, Honghai; Huang, Yingbo - In: International review of economics & finance : IREF 58 (2018), pp. 127-139

Persistent link: https://www.econbiz.de/10012034198

Dynamic interactions between foreign institutional investment flows and stock market returns : the case of India

Bulsara, Hemantkumar P.; Dhingra, Vaishali Samir; … - In: Contemporary economics 9 (2015) 3, pp. 271-298

January, 2004 through September, 2012. The analysis employs a Cross Correlation Function (CCF) approach, a Granger Causality …

Persistent link: https://www.econbiz.de/10011392151

Tail relation between return and volume in the US stock market : an analysis based on extreme value theory

Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254

Persistent link: https://www.econbiz.de/10011618837

Effects of macroeconomic uncertainty on the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16

Persistent link: https://www.econbiz.de/10011552317

Conditional correlations and volatility links among gold, oil and Istanbul Stock Exchange sector returns

Gencer, Hatice Gaye; Kilic, Erdem - In: International journal of economics and financial issues … 4 (2014) 1, pp. 170-182

Persistent link: https://www.econbiz.de/10010520108

A service of the

zbw