Search Results - "Multivariate conditional volatility"

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  1. 1
    The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares

    The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares by Chan, Felix, Da Veiga, Bernardo, Mcaleer, M.

    Published 2005
    Subjects: Get full text
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  2. 2
    Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk

    Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk by Da Veiga, Bernardo, Chan, Felix, Mcaleer, M.

    Published 2008
    Subjects: “…Multivariate conditional volatility…”
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