Projected Dynamic Conditional Correlations

2020 ◽  
Author(s):  
Christian T. Brownlees ◽  
Jordi Llorens-Terrazas
Keyword(s):  
Conditional Correlations

BRICH Dynamic Conditional Correlations, Contagion, and Portfolio Diversification Under the Devolatized Returns Concept

2013 ◽  
Author(s):  
Stavros Stavroyiannis ◽  
Vassilios Babalos ◽  
Leonidas Zarangas
Keyword(s):  
Portfolio Diversification ◽  
Conditional Correlations

Conditional Correlations and Investment Shocks: Evidence from the Chinese Sectors

2015 ◽  
Author(s):  
Myeong Hyeon Kim ◽  
Lingxia Sun
Keyword(s):  
Conditional Correlations

scholarly journals Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

2009 ◽  
Author(s):  
Thanchanok Khamkaew ◽  
Roengchai Tansuchat ◽  
Chia-Lin Chang ◽  
Michael McAleer
Keyword(s):  
Conditional Correlations

scholarly journals An analysis of CEE equity market integration and their volatility spillover effects

2019 ◽  
Vol 29 (1) ◽  
pp. 23-40 ◽  
Author(s):  
Ngo Thai Hung
Keyword(s):  
Market Integration ◽  
Design Methodology ◽  
Spillover Effects ◽  
Equity Market ◽  
Multivariate Garch ◽  
The Czech Republic ◽  
Content Type ◽  
Volatility Spillovers ◽  
Conditional Correlations ◽  
Practical Implications

Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

scholarly journals Conditional correlations and volatility spillovers between crude oil and stock index returns

2013 ◽  
Vol 25 ◽  
pp. 116-138 ◽  
Author(s):  
Chia-Lin Chang ◽  
Michael McAleer ◽  
Roengchai Tansuchat
Keyword(s):  
Crude Oil ◽  
Stock Index ◽  
Volatility Spillovers ◽  
Conditional Correlations ◽  
Stock Index Returns

Conditional Correlations and Real Estate Investment Trusts

2009 ◽  
Vol 15 (2) ◽  
pp. 173-184 ◽  
Author(s):  
James Chong ◽  
Joëlle Miffre ◽  
Simon Stevenson
Keyword(s):  
Real Estate ◽  
Real Estate Investment Trusts ◽  
Real Estate Investment ◽  
Investment Trusts ◽  
Conditional Correlations

scholarly journals Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets

2009 ◽  
Author(s):  
Chia-Lin Chang ◽  
Michael McAleer ◽  
Roengchai Tansuchat
Keyword(s):  
Crude Oil ◽  
Risk Diversification ◽  
Oil Markets ◽  
Conditional Correlations

scholarly journals Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns

2004 ◽  
Author(s):  
Matteo Manera ◽  
Alessandro Lanza ◽  
Michael McAleer
Keyword(s):  
Conditional Correlations
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