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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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A new method for better portfolio investment : a case of the Korean stock market
Eom, Cheoljun; Park, Jong Won - In: Pacific-Basin finance journal 49 (2018), pp. 213-231
Persistent link: https://www.econbiz.de/10012117694
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Minimum VaR and minimum CvaR optimal portfolios : the case of singular covariance matrix
Gulliksson, Mårten; Mazur, Stepan; Oleynik, Anna - 2024
This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...
Persistent link: https://www.econbiz.de/10015084447
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Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
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Intraday price and volatility spillovers between Japanese and Korean stock markets
Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 15 (2014) 2, pp. 185-207
Persistent link: https://www.econbiz.de/10010414245
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Stock and bond returns correlation in Korea : local versus global risk during crisis periods
Park, Keehwan; Fang, Zhongzheng; Ha, Young Ho - In: Journal of Asian economics 65 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012257798
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Can big data help predict financial market dynamics? : evidence from the Korean stock market
Pyo, Dong-Jin - In: East Asian economic review 21 (2017) 2, pp. 147-165
Persistent link: https://www.econbiz.de/10011701207
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Can big data help predict financial market dynamics? : evidence from the Korean stock market
Pyo, Dong-Jin - In: East Asian economic review 21 (2017) 2, pp. 147-165
This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...
Persistent link: https://www.econbiz.de/10011765063
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The CAPM, national stock market betas, and macroeconomic covariates : a global analysis
Curran, Michael; Velic, Adnan - 2018
Persistent link: https://www.econbiz.de/10011898916
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Time-Localized Wavelet Multiple Regression and Correlation : Eurozone Stock Markets Across Scales and Time
Fernandez-Macho, Javier - 2020
regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …
Persistent link: https://www.econbiz.de/10012854086