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Does liquidity risk explain the time-variation in asset correlations? Evidence from stocks, bonds and commodities
Twala, Zinhle
;
Demirer, Riza
;
Gupta, Rangan
(
International Foundation for Research and Development
,
2018-04
)
Presidential cycles and time-varying bond–stock market correlations : evidence from more than two centuries of data
Demirer, Riza
;
Gupta, Rangan
(
Elsevier
,
2018-06
)
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Author
Demirer, Riza (2)
Gupta, Rangan (2)
Twala, Zinhle (1)
Subject
Conditional correlation (2)
Asset classes (1)
Asset correlation (1)
Bond and stock returns comovement (1)
Bonds (1)
Commodities (1)
Dynamic conditional correlation (DCC) (1)
Generalized autoregressive conditional heteroskedasticity (GARCH) (1)
Liquidity (1)
Stocks (1)
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Date Issued
2018 (2)
Has File(s)
true (2)