Thorsten W. Glück

European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate

Gustav-Stresemann-Ring 3

Wiesbaden, Wiesbaden 65189

Germany

http://www.ebs.edu

SCHOLARLY PAPERS

3

DOWNLOADS

520

CITATIONS

0

Scholarly Papers (3)

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

Number of pages: 53 Posted: 24 Nov 2011 Last Revised: 29 Jun 2016
Zeno Adams, Roland Füss and Thorsten W. Glück
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
Downloads 255 (93,685)

Abstract:

Change-point tests; correlation breaks; dynamic conditional correlation (DCC); multivariate GARCH models; spurious conditional correlation

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

University of St.Gallen, School of Finance Research Paper No. 2016/13
Number of pages: 60 Posted: 30 Jun 2016 Last Revised: 17 Feb 2017
Zeno Adams, Roland Füss and Thorsten W. Glück
University of St. Gallen, University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
Downloads 126 (179,806)

Abstract:

Change-point tests, correlation breaks, dynamic conditional correlation (DCC), multivariate GARCH models, spurious conditional correlation

2.

Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect

Number of pages: 38 Posted: 01 Aug 2013
Zeno Adams and Thorsten W. Glück
University of St. Gallen and European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
Downloads 67 (237,616)

Abstract:

Financialization, commodities, risk spillovers, style investing, state-dependent sensitivity VaR

3.

Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect

University of St.Gallen, School of Finance Research Paper No. 2014/13
Number of pages: 47 Posted: 14 Aug 2014 Last Revised: 28 Oct 2014
Zeno Adams and Thorsten W. Glück
University of St. Gallen - School of Finance and European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
Downloads 45 (299,433)

Abstract:

Financialization, commodities, risk spillovers, style investing, state-dependent sensitivity VaR