Concepedia

Time-shift asymmetric correlation analysis of global stock markets

Sergey K. Aityan, А. K. Ivanov-Schitz, Sergey S. Izotov

Journal of International Financial Markets Institutions and Money · 2010 · 41 citations · 53 references

DOI

Concepts

References

53

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

, , +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

, , +15

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

, , +17

Mathematical Methods of Statistics.

R. C. Geary, H. Leslie Cramer · The Economic Journal · 1947 · 6K citations

, , +12

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

Tim Bollerslev · The Review of Economics and Statistics · 1990 · 3.6K citations

, , +15