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Nassar S. Al-Nassar
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,...
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Yi-Chang Chen, Hung-Che Wu, Yuanyuan Zhang and Shih-Ming Kuo
The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that...
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Ke Chen and Meng Wang
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments o...
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Zouheir Mighri,Faysal Mansouri
Pág. 637 - 661
This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and ...
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