FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2029788495> ?p ?o ?g. }

• W2029788495 endingPage "767" @default.
• W2029788495 startingPage "753" @default.
• W2029788495 abstract "This paper uses three euro exchange rates – the US dollar, sterling and yen – to test for the presence of volatility spillovers and time-varying correlations using the realised variance approach, which has significant advantages over the multivariate-GARCH methodology. Our results suggest that the three currencies do exhibit some degree of volatility spillover and hence commonality in the driving force behind volatility movement. With regard to the nature of time-variation within the correlation coefficients, there is substantial evidence that correlations are time-varying but that the strength of correlation coefficients has not increased over the sample period. Furthermore, there is evidence that correlations themselves are predictable and interrelated. These results support the view that the three rates do exhibit interrelationships, commonality and time-varying correlation, factors that are important to portfolio managers. This latter point is illustrated by using the realised variances and covariances to determine portfolio weights, the portfolio variance of which is lower than constructing portfolios using (rolling) unconditional values." @default.
• W2029788495 created "2016-06-24" @default.
• W2029788495 creator A5004144352 @default.
• W2029788495 creator A5026796905 @default.
• W2029788495 creator A5084268715 @default.
• W2029788495 date "2010-01-25" @default.
• W2029788495 modified "2023-09-28" @default.
• W2029788495 title "Correlations and spillovers among three euro rates: evidence using realised variance" @default.
• W2029788495 cites W1502300056 @default.
• W2029788495 cites W1512787610 @default.
• W2029788495 cites W1549063525 @default.
• W2029788495 cites W1567579011 @default.
• W2029788495 cites W1727659491 @default.
• W2029788495 cites W1963787328 @default.
• W2029788495 cites W1964889629 @default.
• W2029788495 cites W1973179437 @default.
• W2029788495 cites W1975201751 @default.
• W2029788495 cites W1977480757 @default.
• W2029788495 cites W1984393982 @default.
• W2029788495 cites W1987346799 @default.
• W2029788495 cites W1989824032 @default.
• W2029788495 cites W1997346282 @default.
• W2029788495 cites W1998968611 @default.
• W2029788495 cites W2019950982 @default.
• W2029788495 cites W2019975447 @default.
• W2029788495 cites W2029939045 @default.
• W2029788495 cites W2035008408 @default.
• W2029788495 cites W2062303379 @default.
• W2029788495 cites W2063593194 @default.
• W2029788495 cites W2066580768 @default.
• W2029788495 cites W2068138154 @default.
• W2029788495 cites W2068738661 @default.
• W2029788495 cites W2099194903 @default.
• W2029788495 cites W2117330494 @default.
• W2029788495 cites W2132260104 @default.
• W2029788495 cites W2132874737 @default.
• W2029788495 cites W2149908462 @default.
• W2029788495 cites W2153155589 @default.
• W2029788495 cites W2155804346 @default.
• W2029788495 cites W2162431476 @default.
• W2029788495 cites W2165145231 @default.
• W2029788495 cites W2165631590 @default.
• W2029788495 cites W2166423879 @default.
• W2029788495 cites W3121262530 @default.
• W2029788495 cites W3121323861 @default.
• W2029788495 cites W3121364726 @default.
• W2029788495 cites W3122275744 @default.
• W2029788495 cites W3123068586 @default.
• W2029788495 cites W3123430372 @default.
• W2029788495 cites W3125412410 @default.
• W2029788495 cites W3125452196 @default.
• W2029788495 cites W3125976565 @default.
• W2029788495 cites W4242129407 @default.
• W2029788495 doi "https://doi.org/10.1080/13518470903448424" @default.
• W2029788495 hasPublicationYear "2010" @default.
• W2029788495 type Work @default.
• W2029788495 sameAs 2029788495 @default.
• W2029788495 citedByCount "8" @default.
• W2029788495 countsByYear W20297884952013 @default.
• W2029788495 countsByYear W20297884952014 @default.
• W2029788495 countsByYear W20297884952016 @default.
• W2029788495 countsByYear W20297884952017 @default.
• W2029788495 countsByYear W20297884952018 @default.
• W2029788495 countsByYear W20297884952020 @default.
• W2029788495 countsByYear W20297884952021 @default.
• W2029788495 crossrefType "journal-article" @default.
• W2029788495 hasAuthorship W2029788495A5004144352 @default.
• W2029788495 hasAuthorship W2029788495A5026796905 @default.
• W2029788495 hasAuthorship W2029788495A5084268715 @default.
• W2029788495 hasConcept C105795698 @default.
• W2029788495 hasConcept C106159729 @default.
• W2029788495 hasConcept C117220453 @default.
• W2029788495 hasConcept C121955636 @default.
• W2029788495 hasConcept C149782125 @default.
• W2029788495 hasConcept C161584116 @default.
• W2029788495 hasConcept C162324750 @default.
• W2029788495 hasConcept C175444787 @default.
• W2029788495 hasConcept C185592680 @default.
• W2029788495 hasConcept C196083921 @default.
• W2029788495 hasConcept C198531522 @default.
• W2029788495 hasConcept C23922673 @default.
• W2029788495 hasConcept C2524010 @default.
• W2029788495 hasConcept C2780821815 @default.
• W2029788495 hasConcept C33923547 @default.
• W2029788495 hasConcept C43617362 @default.
• W2029788495 hasConcept C55527203 @default.
• W2029788495 hasConcept C60092789 @default.
• W2029788495 hasConcept C91602232 @default.
• W2029788495 hasConceptScore W2029788495C105795698 @default.
• W2029788495 hasConceptScore W2029788495C106159729 @default.
• W2029788495 hasConceptScore W2029788495C117220453 @default.
• W2029788495 hasConceptScore W2029788495C121955636 @default.
• W2029788495 hasConceptScore W2029788495C149782125 @default.
• W2029788495 hasConceptScore W2029788495C161584116 @default.
• W2029788495 hasConceptScore W2029788495C162324750 @default.
• W2029788495 hasConceptScore W2029788495C175444787 @default.
• W2029788495 hasConceptScore W2029788495C185592680 @default.
• W2029788495 hasConceptScore W2029788495C196083921 @default.

• next