Concepedia

Asymmetric effects and volatility transmission from metals markets to solar energy stocks: Evidence from DCC, ADCC, and quantile regression approach

Farzan Yahya, Ghulam Abbas, Chien‐Chiang Lee

Resources Policy · 2023 · 37 citations · 62 references

DOI

Concepts

References

62

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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

, , +17

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

, , +17

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

, , +16

Sample Splitting and Threshold Estimation

Bruce E. Hansen · Econometrica · 2000 · 2.8K citations

, , +15