Illiquidity contagion and pricing of commonality risk: Evidence from a dynamic conditional correlation model

Finance Research Letters ◽

10.1016/j.frl.2020.101571 ◽

2020 ◽

pp. 101571

Author(s):

Nardos Beyene ◽

Peng Huang ◽

C. James Hueng

Keyword(s):

Correlation Model ◽

Conditional Correlation ◽

Dynamic Conditional Correlation

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Speculative Bubbles and Contagion: Analysis of Volatility's Clusters During the Dotcom Bubble Based on the Dynamic Conditional Correlation Model

SSRN Electronic Journal ◽

10.2139/ssrn.3004481 ◽

2017 ◽

Author(s):

Maximilian-Benedikt Herwarth Kohn ◽

Pedro L. Valls Pereira

Keyword(s):

Correlation Model ◽

Conditional Correlation ◽

Speculative Bubbles ◽

Dynamic Conditional Correlation

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Forecasting time-varying covariance with a range-based dynamic conditional correlation model

Review of Quantitative Finance and Accounting ◽

10.1007/s11156-009-0113-3 ◽

2009 ◽

Vol 33 (4) ◽

pp. 327-345 ◽

Cited By ~ 21

Author(s):

Ray Yeutien Chou ◽

Chun-Chou Wu ◽

Nathan Liu

Keyword(s):

Time Varying ◽

Correlation Model ◽

Conditional Correlation ◽

Dynamic Conditional Correlation

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Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range

Journal of Forecasting ◽

10.1002/for.2252 ◽

2013 ◽

Vol 32 (5) ◽

pp. 469-480 ◽

Cited By ~ 8

Author(s):

Manabu Asai

Keyword(s):

Stock Return ◽

Correlation Model ◽

Conditional Correlation ◽

Dynamic Conditional Correlation

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Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model

Cogent Economics & Finance ◽

10.1080/23322039.2017.1411453 ◽

2017 ◽

Vol 5 (1) ◽

pp. 1411453 ◽

Cited By ~ 1

Author(s):

Maximilian-Benedikt Herwarth Kohn ◽

Pedro L. Valls Pereira ◽

Xibin Zhang

Keyword(s):

Correlation Model ◽

Conditional Correlation ◽

Speculative Bubbles ◽

Dynamic Conditional Correlation

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Review for "Using autoregressive-dynamic conditional correlation model with residual analysis to extract dynamic functional connectivity"

10.1088/1741-2552/ab965b/v2/review1 ◽

2020 ◽

Keyword(s):

Functional Connectivity ◽

Residual Analysis ◽

Correlation Model ◽

Conditional Correlation ◽

Dynamic Functional Connectivity ◽

Dynamic Conditional Correlation

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Decision letter for "Using autoregressive-dynamic conditional correlation model with residual analysis to extract dynamic functional connectivity"

10.1088/1741-2552/ab965b/v2/decision1 ◽

2020 ◽

Keyword(s):

Functional Connectivity ◽

Residual Analysis ◽

Correlation Model ◽

Conditional Correlation ◽

Dynamic Functional Connectivity ◽

Dynamic Conditional Correlation

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Using autoregressive-dynamic conditional correlation model with residual analysis to extract dynamic functional connectivity

Journal of Neural Engineering ◽

10.1088/1741-2552/ab965b ◽

2020 ◽

Vol 17 (3) ◽

pp. 035008

Author(s):

Hamidreza Hakimdavoodi ◽

Maryam Amirmazlaghani

Keyword(s):

Functional Connectivity ◽

Residual Analysis ◽

Correlation Model ◽

Conditional Correlation ◽

Dynamic Functional Connectivity ◽

Dynamic Conditional Correlation

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Relationship between Nigeria Stock Exchange and Inflation to Dynamic Conditional Correlation Model

Journal of Statistics Applications & Probability Letters ◽

10.18576/jsapl/040202 ◽

2017 ◽

Vol 4 (2) ◽

pp. 51-56

Author(s):

Samson Agboola ◽

Akinwande Michael Olusegun

Keyword(s):

Stock Exchange ◽

Correlation Model ◽

Conditional Correlation ◽

Dynamic Conditional Correlation

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A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets

Econometric Reviews ◽

10.1080/07474930903038834 ◽

2009 ◽

Vol 28 (6) ◽

pp. 612-631 ◽

Cited By ~ 42

Author(s):

Christian M. Hafner ◽

Philip Hans Franses

Keyword(s):

Model Simulation ◽

Correlation Model ◽

Conditional Correlation ◽

Dynamic Conditional Correlation

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Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Applied Economics ◽

10.1080/00036846.2015.1119794 ◽

2015 ◽

Vol 48 (25) ◽

pp. 2367-2382 ◽

Cited By ~ 12

Author(s):

Pedro Nielsen Rotta ◽

Pedro L. Valls Pereira

Keyword(s):

Regime Switching ◽

Correlation Model ◽

Conditional Correlation ◽

Markov Regime Switching ◽

Dynamic Conditional Correlation

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