FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1488693013> ?p ?o ?g. }

• W1488693013 abstract "We extend the Regime Switching for Dynamic Correlations (RSDC) model by Pelletier (Journal of Econometrics, 2006), to determine the effect of underlying fundamental variables in the evolution of the dynamic correlations between multiple time series. By introducing state dependent transition probabilities to the switching process between different regimes - governed by a Markov chain, we are able to identify potential thresholds and spillover effects in the dynamic process. In addition, asymmetric correlations between the series are determined. We simulate data for multiple series and find an initial better fit of state dependent transition probabilities, versus constant transition probabilities, for the regime switching model. Capturing more precisely the dynamic interrelationships between multiple series or markets conveys many benefits including - potential efficiency gains from related operations, determining the effects of shocks from related variables, as well as improvement in hedging operations." @default.
• W1488693013 created "2016-06-24" @default.
• W1488693013 creator A5005809166 @default.
• W1488693013 creator A5047315684 @default.
• W1488693013 creator A5071390624 @default.
• W1488693013 date "2009-01-01" @default.
• W1488693013 modified "2023-09-23" @default.
• W1488693013 title "A State Dependent Regime Switching Model of Dynamic Correlations" @default.
• W1488693013 cites W1576326745 @default.
• W1488693013 cites W1589516688 @default.
• W1488693013 cites W1727659491 @default.
• W1488693013 cites W189127195 @default.
• W1488693013 cites W1963574366 @default.
• W1488693013 cites W1975163127 @default.
• W1488693013 cites W1977480757 @default.
• W1488693013 cites W1979575715 @default.
• W1488693013 cites W1980576284 @default.
• W1488693013 cites W2012242451 @default.
• W1488693013 cites W2021153712 @default.
• W1488693013 cites W2029099602 @default.
• W1488693013 cites W2040433803 @default.
• W1488693013 cites W2052441401 @default.
• W1488693013 cites W2054599015 @default.
• W1488693013 cites W2058562590 @default.
• W1488693013 cites W2064562353 @default.
• W1488693013 cites W2068413413 @default.
• W1488693013 cites W2079898209 @default.
• W1488693013 cites W2090559277 @default.
• W1488693013 cites W2100976425 @default.
• W1488693013 cites W2102390267 @default.
• W1488693013 cites W2131191805 @default.
• W1488693013 cites W2148594523 @default.
• W1488693013 cites W2150066764 @default.
• W1488693013 cites W2400463655 @default.
• W1488693013 cites W3122366856 @default.
• W1488693013 cites W3123068586 @default.
• W1488693013 cites W3124755002 @default.
• W1488693013 cites W3125349010 @default.
• W1488693013 cites W3125564657 @default.
• W1488693013 cites W3146166473 @default.
• W1488693013 doi "https://doi.org/10.22004/ag.econ.49370" @default.
• W1488693013 hasPublicationYear "2009" @default.
• W1488693013 type Work @default.
• W1488693013 sameAs 1488693013 @default.
• W1488693013 citedByCount "5" @default.
• W1488693013 countsByYear W14886930132012 @default.
• W1488693013 crossrefType "posted-content" @default.
• W1488693013 hasAuthorship W1488693013A5005809166 @default.
• W1488693013 hasAuthorship W1488693013A5047315684 @default.
• W1488693013 hasAuthorship W1488693013A5071390624 @default.
• W1488693013 hasConcept C105795698 @default.
• W1488693013 hasConcept C111919701 @default.
• W1488693013 hasConcept C121332964 @default.
• W1488693013 hasConcept C121864883 @default.
• W1488693013 hasConcept C143724316 @default.
• W1488693013 hasConcept C144237770 @default.
• W1488693013 hasConcept C149782125 @default.
• W1488693013 hasConcept C151730666 @default.
• W1488693013 hasConcept C159886148 @default.
• W1488693013 hasConcept C162324750 @default.
• W1488693013 hasConcept C175444787 @default.
• W1488693013 hasConcept C199360897 @default.
• W1488693013 hasConcept C2777027219 @default.
• W1488693013 hasConcept C2984679396 @default.
• W1488693013 hasConcept C33923547 @default.
• W1488693013 hasConcept C41008148 @default.
• W1488693013 hasConcept C55527203 @default.
• W1488693013 hasConcept C86803240 @default.
• W1488693013 hasConcept C98045186 @default.
• W1488693013 hasConcept C98763669 @default.
• W1488693013 hasConceptScore W1488693013C105795698 @default.
• W1488693013 hasConceptScore W1488693013C111919701 @default.
• W1488693013 hasConceptScore W1488693013C121332964 @default.
• W1488693013 hasConceptScore W1488693013C121864883 @default.
• W1488693013 hasConceptScore W1488693013C143724316 @default.
• W1488693013 hasConceptScore W1488693013C144237770 @default.
• W1488693013 hasConceptScore W1488693013C149782125 @default.
• W1488693013 hasConceptScore W1488693013C151730666 @default.
• W1488693013 hasConceptScore W1488693013C159886148 @default.
• W1488693013 hasConceptScore W1488693013C162324750 @default.
• W1488693013 hasConceptScore W1488693013C175444787 @default.
• W1488693013 hasConceptScore W1488693013C199360897 @default.
• W1488693013 hasConceptScore W1488693013C2777027219 @default.
• W1488693013 hasConceptScore W1488693013C2984679396 @default.
• W1488693013 hasConceptScore W1488693013C33923547 @default.
• W1488693013 hasConceptScore W1488693013C41008148 @default.
• W1488693013 hasConceptScore W1488693013C55527203 @default.
• W1488693013 hasConceptScore W1488693013C86803240 @default.
• W1488693013 hasConceptScore W1488693013C98045186 @default.
• W1488693013 hasConceptScore W1488693013C98763669 @default.
• W1488693013 hasLocation W14886930131 @default.
• W1488693013 hasOpenAccess W1488693013 @default.
• W1488693013 hasPrimaryLocation W14886930131 @default.
• W1488693013 hasRelatedWork W104415320 @default.
• W1488693013 hasRelatedWork W1488498738 @default.
• W1488693013 hasRelatedWork W1494406182 @default.
• W1488693013 hasRelatedWork W1504311899 @default.
• W1488693013 hasRelatedWork W1967851117 @default.
• W1488693013 hasRelatedWork W2046053994 @default.
• W1488693013 hasRelatedWork W2108216795 @default.

• next