The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model
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References listed on IDEAS
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- Ratner, Mitchell & Chiu, Chih-Chieh (Jason), 2013. "Hedging stock sector risk with credit default swaps," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 18-25.
- Sriananthakumar, Sivagowry & Narayan, Seema, 2015. "Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 504-520.
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- Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
- Saker Sabkha & Christian De Peretti, 2018. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Working Papers hal-01710398, HAL.
- Li, Xiao-Ming, 2011. "How do exchange rates co-move? A study on the currencies of five inflation-targeting countries," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 418-429, February.
- Abdelaziz Rouabah, 2007. "Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques," BCL working papers 25, Central Bank of Luxembourg.
- repec:eee:ecosys:v:41:y:2017:i:1:p:98-108 is not listed on IDEAS
- Anna P. Sandqvist, 2015. "Dynamics of Sectoral Business Cycle Comovement," KOF Working papers 15-398, KOF Swiss Economic Institute, ETH Zurich.
- Guang Yang, 2009. "Local government expenditure, RBC model and regional business cycle in China-Take Tianjin for example," Frontiers of Economics in China, Springer;Higher Education Press, vol. 4(4), pages 588-600, December.
- Wasel Shadat & Chris Orme, 2011. "An investigation of parametric tests of CCC assumption," The School of Economics Discussion Paper Series 1109, Economics, The University of Manchester.
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