Get started
Keyword

dynamic conditional correlation

Description: Dynamic conditional correlation is a statistical approach for modeling time-varying correlations among financial or economic variables, commonly within multivariate GARCH models.
OpenAlex ID: keywords/dynamic-conditional-correlation
Dynamic Conditional Correlation
2002 · Robert Engle · Journal of Business and Economic Statistics · 7,104
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
2006 · L. Cappiello, R. F. Engle, et al. · Journal of Financial Econometrics · 1,773
PDF
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
2016 · Elie Bouri, Peter Molnár, et al. · Finance research letters · 1,436
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
2001 · Robert Engle, Kevin Sheppard · National Bureau of Economic Research · 1,400
PDF
Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models
2000 · Robert F. Engle · SSRN Electronic Journal · 1,108
Dynamic correlation analysis of financial contagion: Evidence from Asian markets
2007 · Thomas C. Chiang, Bang Nam Jeon, et al. · Journal of International Money and Finance · 895
Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies
2011 · Perry Sadorsky · Energy Economics · 875
On the links between stock and commodity markets' volatility
2013 · Anna Creti, Marc Joëts, et al. · Energy Economics · 557
PDF
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH
2015 · Syed Abul Basher, Perry Sadorsky · Energy Economics · 546
PDF
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
2011 · Lukas Vacha, Jozef Barunik · Energy Economics · 496
PDF
Dynamic Equicorrelation
2012 · Robert Engle, Bryan Kelly · Journal of Business and Economic Statistics · 456
Dynamic Conditional Correlation: On Properties and Estimation
2013 · Gian Piero Aielli · Journal of Business and Economic Statistics · 423
Regime switching for dynamic correlations
2006 · Denis Pelletier · Journal of Econometrics · 414
Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets
2011 · Manolis N. Syllignakis, Georgios P. Kouretas · International Review of Economics & Finance · 391
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
2013 · Dimitrios Dimitriou, Dimitris Kenourgios, et al. · International Review of Financial Analysis · 359
Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment
2010 · Kyongwook Choi, Shawkat Hammoudeh · Energy Policy · 352
Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
2020 · Christy Dwita Mariana, Irwan Adi Ekaputra, et al. · Finance research letters · 351
Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade
2019 · David C. Broadstock, Louis T.W. Cheng · Finance research letters · 335
Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat
2014 · Perry Sadorsky · Energy Economics · 320
Oil volatility, oil and gas firms and portfolio diversification
2018 · Nikolaos Antonakakis, Juncal Cunado, et al. · Energy Economics · 314
PDF
Crude oil hedging strategies using dynamic multivariate GARCH
2011 · Chia-Lin Chang, Michael McAleer, et al. · Energy Economics · 303
A component model for dynamic correlations
2009 · Engle, Robert, Colacito, Riccardo, et al. · Faculty Digital Archive (New York University Florence) · 300
PDF
On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios
2007 · Yuan-Hung Hsu Ku, Ho-Chyuan Chen, et al. · Applied Economics Letters · 293
The dynamic volatility spillover between European carbon trading market and fossil energy market
2015 · Yue-Jun Zhang, Ya-Fang Sun · Journal of Cleaner Production · 280
Large Dynamic Covariance Matrices
2017 · Robert F. Engle, Olivier Ledoit, et al. · Journal of Business and Economic Statistics · 278
PDF
Works count: 4,006
Citation count: 62,690
Year
Topic
Type