Visualizing time-varying correlations across stock markets
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 7 (2000)
Issue (Month): 2 (August)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jempfin
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-44.
- Peter Schönemann & Robert Carroll, 1970. "Fitting one matrix to another under choice of a central dilation and a rigid motion," Psychometrika, Springer, vol. 35(2), pages 245-255, June.
- Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 167-76, April.
- Patrick Groenen & Willem Heiser, 1996. "The tunneling method for global optimization in multidimensional scaling," Psychometrika, Springer, vol. 61(3), pages 529-550, September.
- Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998.
"Dating the Integration of World Equity Markets,"
NBER Working Papers
6724, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990.
"Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills,"
Journal of Econometrics,
Elsevier, vol. 45(1-2), pages 213-237.
- Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc.
- Norman Cliff, 1966. "Orthogonal rotation to congruence," Psychometrika, Springer, vol. 31(1), pages 33-42, March.
- J. Kruskal, 1964. "Multidimensional scaling by optimizing goodness of fit to a nonmetric hypothesis," Psychometrika, Springer, vol. 29(1), pages 1-27, March.
- Morana, Claudio & Beltratti, Andrea, 2008.
"Comovements in international stock markets,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 18(1), pages 31-45, February.
- Claudio Morana, 2008.
"International stock markets comovements: the role of economic and financial integration,"
Springer, vol. 35(2), pages 333-359, September.
- Claudio Morana, 2006. "International Stock Markets Comovements: the Role of Economic and Financial Integration," ICER Working Papers 25-2006, ICER - International Centre for Economic Research.
- Miroslav Plasil & Ivana Kubicova, 2012. "Contingent Claims Analysis And The Inter-Sector Transmission Of Credit Risk," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 129-139 Czech National Bank, Research Department.
- Bera, Anil K. & Kim, Sangwhan, 2002. "Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 171-195, March.
- Dirk Brounen & Maarten Jennen, 2009. "Asymmetric Properties of Office Rent Adjustment," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 336-358, October.
- Giampaolo Gabbi, 2005. "Semi-correlations as a tool for geographical and sector asset allocation," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 271-281.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.