Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123497102> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W3123497102 abstract "In this paper we analyse market co-movements during the global financial crisis. Using high frequency data and accounting for market microstructure noise and non-synchronous trading, interdependencies between differing as-set classes such as equity, FX, fixed income, commodity and energy securities are quantified. To this end multivariate realised kernels and GARCH models are employed. We find that during the current period of market dislocations and times of increased risk aversion, assets have become more correlated when applying these intra-day measures. FX pairs seemingly lead the other variables, but commodities remain entirely unaffected." @default.
- W3123497102 created "2021-02-01" @default.
- W3123497102 creator A5046506095 @default.
- W3123497102 date "2009-01-01" @default.
- W3123497102 modified "2023-09-28" @default.
- W3123497102 title "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading" @default.
- W3123497102 hasPublicationYear "2009" @default.
- W3123497102 type Work @default.
- W3123497102 sameAs 3123497102 @default.
- W3123497102 citedByCount "0" @default.
- W3123497102 crossrefType "posted-content" @default.
- W3123497102 hasAuthorship W3123497102A5046506095 @default.
- W3123497102 hasConcept C10138342 @default.
- W3123497102 hasConcept C106159729 @default.
- W3123497102 hasConcept C120310109 @default.
- W3123497102 hasConcept C139719470 @default.
- W3123497102 hasConcept C144133560 @default.
- W3123497102 hasConcept C149782125 @default.
- W3123497102 hasConcept C162324750 @default.
- W3123497102 hasConcept C17744445 @default.
- W3123497102 hasConcept C182306322 @default.
- W3123497102 hasConcept C185874996 @default.
- W3123497102 hasConcept C19244329 @default.
- W3123497102 hasConcept C199539241 @default.
- W3123497102 hasConcept C199728807 @default.
- W3123497102 hasConcept C2778300220 @default.
- W3123497102 hasConcept C38652104 @default.
- W3123497102 hasConcept C41008148 @default.
- W3123497102 hasConcept C51926234 @default.
- W3123497102 hasConcept C556758197 @default.
- W3123497102 hasConcept C69738904 @default.
- W3123497102 hasConcept C76178495 @default.
- W3123497102 hasConceptScore W3123497102C10138342 @default.
- W3123497102 hasConceptScore W3123497102C106159729 @default.
- W3123497102 hasConceptScore W3123497102C120310109 @default.
- W3123497102 hasConceptScore W3123497102C139719470 @default.
- W3123497102 hasConceptScore W3123497102C144133560 @default.
- W3123497102 hasConceptScore W3123497102C149782125 @default.
- W3123497102 hasConceptScore W3123497102C162324750 @default.
- W3123497102 hasConceptScore W3123497102C17744445 @default.
- W3123497102 hasConceptScore W3123497102C182306322 @default.
- W3123497102 hasConceptScore W3123497102C185874996 @default.
- W3123497102 hasConceptScore W3123497102C19244329 @default.
- W3123497102 hasConceptScore W3123497102C199539241 @default.
- W3123497102 hasConceptScore W3123497102C199728807 @default.
- W3123497102 hasConceptScore W3123497102C2778300220 @default.
- W3123497102 hasConceptScore W3123497102C38652104 @default.
- W3123497102 hasConceptScore W3123497102C41008148 @default.
- W3123497102 hasConceptScore W3123497102C51926234 @default.
- W3123497102 hasConceptScore W3123497102C556758197 @default.
- W3123497102 hasConceptScore W3123497102C69738904 @default.
- W3123497102 hasConceptScore W3123497102C76178495 @default.
- W3123497102 hasLocation W31234971021 @default.
- W3123497102 hasOpenAccess W3123497102 @default.
- W3123497102 hasPrimaryLocation W31234971021 @default.
- W3123497102 hasRelatedWork W1427722615 @default.
- W3123497102 hasRelatedWork W1537295220 @default.
- W3123497102 hasRelatedWork W1568708626 @default.
- W3123497102 hasRelatedWork W1658173038 @default.
- W3123497102 hasRelatedWork W1887387386 @default.
- W3123497102 hasRelatedWork W2035114206 @default.
- W3123497102 hasRelatedWork W2097846198 @default.
- W3123497102 hasRelatedWork W2140281452 @default.
- W3123497102 hasRelatedWork W2143096720 @default.
- W3123497102 hasRelatedWork W252816827 @default.
- W3123497102 hasRelatedWork W2794622010 @default.
- W3123497102 hasRelatedWork W2872875565 @default.
- W3123497102 hasRelatedWork W2890829459 @default.
- W3123497102 hasRelatedWork W2917695898 @default.
- W3123497102 hasRelatedWork W2953615383 @default.
- W3123497102 hasRelatedWork W3122514684 @default.
- W3123497102 hasRelatedWork W3125020017 @default.
- W3123497102 hasRelatedWork W3146997742 @default.
- W3123497102 hasRelatedWork W3167035592 @default.
- W3123497102 hasRelatedWork W3198890150 @default.
- W3123497102 isParatext "false" @default.
- W3123497102 isRetracted "false" @default.
- W3123497102 magId "3123497102" @default.
- W3123497102 workType "article" @default.