Cross-market index with Factor-DCC
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DOI: 10.1016/j.econmod.2014.04.001
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- Julien Chevallier & Sofiane Aboura, 2014. "Cross-market index with Factor-DCC," Post-Print hal-01531234, HAL.
References listed on IDEAS
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Citations
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Cited by:
- Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
- Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
More about this item
Keywords
Cross-market index; Factor-DCC; Asset management;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G01 - Financial Economics - - General - - - Financial Crises
- F15 - International Economics - - Trade - - - Economic Integration
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