1 - 4 of 4 articles
We propose a method of evaluating the accuracy of the implied default probabilities. We modify the model proposed by Duffie et al. (Rev Fin Stud 12:678–720, 1999) to allow the parametric statistical analysis. The pseudo maximum likelihood estimator is defined and to justify our method we shall...
This study finds that returns to stocks with relatively high market capitalizations lead returns to stocks with relatively low market capitalizations in Australian industry portfolios. These lead–lag patterns or positive cross-correlations are found in both daily and weekly returns and continue...
In this paper, the vector autoregressive model is fitted to find out the causal relationship among realized volatility, the number of transactions and volume with the intraday time intervals of 10, 20 and 30 min. To understand the impact of shock to the market on specific variables, a...
This paper is an empirical assessment of various aspects regarding interconnections among the largest world stock markets. The study investigates the dynamic connection structure of ten major stock markets using partial directed coherence (PDC) and graphical models. Recently, PDC has been...
Read and print from thousands of top scholarly journals.
Continue with Facebook
Log in with Microsoft
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.