Volatility dependencies and dynamic conditional correlations
Volatility and dynamic conditional correlations of European emerging stock markets
... lower correlations of emerging markets with developed markets, diversification benefits decrease during more volatile periods, which is the time when investors most need ...in correlations at the end of our ...
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Volatility and dynamic conditional correlations of European emerging stock markets
... lower correlations of emerging markets with developed markets, diversification benefits decrease during more volatile periods, which is the time when investors most need ...in correlations at the end of our ...
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Dynamic Conditional Correlations for Asymmetric Processes
... The likelihood ratio test rejects the null hypothesis of normality. Hence, we will employ the multivariate standardized t-distribution in the remainder of the paper. The estimates of correlations in P for Table 4 ...
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Financial Volatility, Dynamic Correlations, and Macroeconomic Fundamentals
... financial volatility for a broad set of macro ...expected volatility that can be explained by the respective ...long-term volatility is economically plausible, since these two variables are generally ...
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Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
... constant conditional correlations arising from the CCC model lie in the low to medium ...of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional ...
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Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
... constant conditional correlations arising from the CCC model of Bollerslev (1990) lie in the low to medium ...of volatility spillovers and asymmetric effects of positive and negative return shocks on ...
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Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
... constant conditional correlations arising from the CCC model lie in the low to medium ...of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional ...
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Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
... constant conditional correlations arising from the CCC model of Bollerslev (1990) lie in the low to medium ...of volatility spillovers and asymmetric effects of positive and negative return shocks on ...
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"Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns"
... constant conditional correlations arising from the CCC model of Bollerslev (1990) lie in the low to medium ...of volatility spillovers and asymmetric effects of positive and negative return shocks on ...
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A general multivariate threshold GARCH model with dynamic conditional correlations
... the conditional correlation matrix dynamics under the different model ...univariate conditional volatility dynamics for each single return series and include as possible conditioning variables in the ...
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Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
... of conditional correlations for returns across markets are very low, and some are not statistically significant, which means the conditional shocks are correlated only in the same market and not ...
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Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
... the conditional correlations and volatility spillovers between the crude oil and financial markets, based on crude oil returns and stock index ...of conditional correlations for returns ...
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market
... weeks. Conditional on the t-DCC model being valid, such an event could be expected to occur every 192 years! Of course, it could be argued that it is the inadequacy of the t-DCC model that has given rise to such ...
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Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
... the conditional correlations and volatility spillovers between the crude oil and financial markets, based on crude oil returns and stock index ...of conditional correlations for returns ...
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Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
... of conditional correlations for returns across markets are very low, and some are not statistically significant, which means the conditional shocks are correlated only in the same market and not ...
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A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion
... varying correlations based on the DCC-MIDAS scheme are plotted on Figure 1, Figure 2 and Figure 3, the black lines in each plot represents the short run correlation meanwhile the long run correlation is shown in ...
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Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns
... Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns Summary This paper estimates the dynamic conditional correlations in the returns on WTI oil one- ...
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Modelling time varying volatility spillovers and conditional correlations across commodity metal futures
... increased volatility, liquidity and use as a reserve currency mean that gold prices will react to the market with little to no lag ...demand dynamic to its already complex demand ...
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
... weeks. Conditional on the t-DCC model being valid, such an event could be expected to occur every 192 years! Of course, it could be argued that it is the inadequacy of the t-DCC model that has given rise to such ...
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Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model
... the dynamic conditional correlations are quite high between EUA ECX Futures and CER ECX Futures logreturns (com- prised between ...the dynamic conditional cor- relations extracted from ...
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