Browsing by Subject "Stock exchanges--Econometric models"

DSpace/Manakin Repository

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Correlation dynamics between Asia-Pacifc, EU and US stock returns

Hyde, Stuart ; Bredin, Donal ; Nguyen, Nghia (University College Dublin. School of Business. Centre for Financial Markets, 2007)

This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, ...
Equity market linkages for Ireland using DCC GARCH models

Cotter, John (Institute for International Integration Studies, 2003-06)
Implied correlation from VaR

Cotter, John ; Longin, François (University College Dublin. School of Business. Centre for Financial Markets, 2006)

Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and ...
Volume and skewness in international equity markets

Hutson, Elaine ; Kearney, Colm ; Lynch, Margaret (Elsevier, 2008)

We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation ...