Market conditions and time varying conditional correlations
This paper shows how the dependency of time-varying conditional crosscorrelation on prevailing market conditions can be modeled. With this modelling approach it is possible to empirically investigate how correlations between different markets are dependent on market volatilities and other external f...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2014-06-01
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| Series: | Applied Finance Letters |
| Subjects: | |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/18 |