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Co-movement of ASEAN stock mar...
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201
Asymmetry in stock comovements : an entropy approach
Jiang, Lei
;
Wu, Ke
;
Zhou, Guofu
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
4
,
pp. 1479-1507
Persistent link: https://www.econbiz.de/10011930502
Saved in:
202
Estimation
of volatility and
correlation
with multivariate generalized autoregressive conditional heteroskedasticity models : an application to Moroccan stock markets
Belasri, Yassine
;
Ellaia, Rachid
- In:
International journal of economics and financial issues …
7
(
2017
)
2
,
pp. 384-396
Persistent link: https://www.econbiz.de/10011789279
Saved in:
203
Information diffusion and the lead-lag relationship between small and large size portfolios : evidence from an emerging market
Drakos, Anastassios A.
;
Diamandis, Panayotis F.
; …
- In:
International journal of economics and finance
7
(
2015
)
11
,
pp. 25-38
Persistent link: https://www.econbiz.de/10011401093
Saved in:
204
Corporate stock and bond return correlations and dynamic adjustments of capital structure
Nieto Domenech, Belen
;
Rodriguez, Rosa
- In:
Journal of business finance & accounting : JBFA
42
(
2015
)
5/6
,
pp. 705-746
Persistent link: https://www.econbiz.de/10011442336
Saved in:
205
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, M. Hashem
-
2010
Persistent link: https://www.econbiz.de/10003981032
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206
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram
;
Pesaran, M. Hashem
-
2010
version of the Gaussian dynamic conditional
correlation
(DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10003965868
Saved in:
207
Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian
;
Karanasos, Menelaos
;
Zeng, Ning
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 147-159
Persistent link: https://www.econbiz.de/10009301149
Saved in:
208
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram
;
Pesaran, M. Hashem
- In:
Economic modelling
27
(
2010
)
6
,
pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760
Saved in:
209
Re-examine the dynamic conditional
correlation
between bond and stock returns : the quantile regression approach
Wu, Bing-tse
;
Lee, Wo-chiang
- In:
The empirical economics letters : a monthly …
11
(
2012
)
5
,
pp. 493-502
Persistent link: https://www.econbiz.de/10009758161
Saved in:
210
Association between Asian equity markets and Western markets : evidence from the indexes of equity markets
Jarrett, Jeffrey E.
;
Klein, Alina F.
;
Kyper, Eric
- In:
Asian Journal of Empirical Research
3
(
2013
)
8
,
pp. 972-989
return and the volatility of return for all the markets and estimate the serial
correlation
and
co-movement
of the four …
Persistent link: https://www.econbiz.de/10009788601
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