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

Pedro Nielsen Rotta; Pedro L. Valls Pereira

doi:10.1080/00036846.2015.1119794

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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A New Range-Based Regime-Switching Dynamic Conditional Correlation Model for Minimum-Variance Hedging

Journal of Mathematical Finance ◽

10.4236/jmf.2014.43018 ◽

2014 ◽

Vol 04 (03) ◽

pp. 207-219 ◽

Cited By ~ 4

Author(s):

Yi-Kai Su ◽

Chun-Chou Wu

Keyword(s):

Regime Switching ◽

Minimum Variance ◽

Correlation Model ◽

Conditional Correlation ◽

Dynamic Conditional Correlation ◽

Switching Dynamic

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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 Regime Switching for Dynamic Conditional Correlation and GARCH: Application to Agricultural Commodity Prices and Market Risks

Lecture Notes in Computer Science - Integrated Uncertainty in Knowledge Modelling and Decision Making ◽

10.1007/978-3-319-75429-1_24 ◽

2018 ◽

pp. 289-301 ◽

Cited By ~ 2

Author(s):

Benchawanaree Chodchuangnirun ◽

Woraphon Yamaka ◽

Chatchai Khiewngamdee

Keyword(s):

Regime Switching ◽

Commodity Prices ◽

Conditional Correlation ◽

Agricultural Commodity ◽

Dynamic Conditional Correlation ◽

Market Risks

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