Browsing College of Business and Law by Subject "Stock exchanges--Econometric models"

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Browsing College of Business and Law by Subject "Stock exchanges--Econometric models"

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  • 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, ...
  • 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 ...

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