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Forecasting the correlation structure of share prices: A test of new models

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  • Eun, Cheol S.
  • Resnick, Bruce G.

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  • Eun, Cheol S. & Resnick, Bruce G., 1992. "Forecasting the correlation structure of share prices: A test of new models," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 643-656, June.
    • Handle: RePEc:eee:jbfina:v:16:y:1992:i:3:p:643-656
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    Cited by:

    1. Ahmed, Parvez, 2001. "Forecasting correlation among equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1187-1208, June.
    2. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
    3. Nigel Meade & Gerry Salkin, 2000. "The selection of multinational equity portfolios: forecasting models and estimation risk," The European Journal of Finance, Taylor & Francis Journals, vol. 6(3), pages 259-279.
    4. David Moreno & Paulina Marco & Ignacio Olmeda, 2005. "Risk forecasting models and optimal portfolio selection," Applied Economics, Taylor & Francis Journals, vol. 37(11), pages 1267-1281.
    5. C. D. Sinclair & D. M. Power & A. A. Lonie & P. A. Avgoustinos, 1997. "A note on the stability of relationships between returns from emerging stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 273-280.
    6. Kavussanos, Manolis G. & Marcoulis, Stelios N., 2004. "4. Cross-Industry Comparisons Of The Behaviour Of Stock Returns In Shipping, Transportation And Other Industries," Research in Transportation Economics, Elsevier, vol. 12(1), pages 107-142, January.
    7. Manolis G. Kavussanos & Stelios N. Marcoulis, 1998. "Beta comparisons across industries—a Water transportation industry perspective," Maritime Policy & Management, Taylor & Francis Journals, vol. 25(2), pages 175-184, January.
    8. Lan Liu & Hao Lin, 2010. "Covariance estimation: do new methods outperform old ones?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 187-195, April.

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