Returns synchronization and daily correlation dynamics between international stock markets

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Returns synchronization and daily correlation dynamics between international stock markets

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Martens, Martin
Poon, Ser-Huang

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Ser-Huang Poon

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 25 (2001)
Issue (Month): 10 (October)
Pages: 1805-1827
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Handle: RePEc:eee:jbfina:v:25:y:2001:i:10:p:1805-1827

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C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," The School of Economics Discussion Paper Series 0515, Economics, The University of Manchester. [Downloadable!]
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- Christos S. Savva & Denise R. Osborn & Len Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," The School of Economics Discussion Paper Series 0541, Economics, The University of Manchester. [Downloadable!]
- C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," Centre for Growth and Business Cycle Research Discussion Paper Series 64, Economics, The Univeristy of Manchester. [Downloadable!]
Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376. [Downloadable!]
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- Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society. [Downloadable!]
- Giorgio Valente & Lucio Sarno, 2004. "Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Working Papers wp04-11, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
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- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, School of Economics and Management, University of Aarhus. [Downloadable!]
- Annastiina Silvennoinen & Timo Teräsvirta, 2009. "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall. [Downloadable!] (restricted)
George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA. [Downloadable!]
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- Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September. [Downloadable!] (restricted)
Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department. [Downloadable!]
Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004. [Downloadable!]
Christos Savva & Denise R Osborn & Len Gill, 2005. "Volatility, spillover Effects and Correlations in US and Major European Markets," Money Macro and Finance (MMF) Research Group Conference 2005 23, Money Macro and Finance Research Group. [Downloadable!]
Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank. [Downloadable!]
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A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
Schotman, Peter C & Zalewska, Ania, 2005. "Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets," CEPR Discussion Papers 5352, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series 77, Economics, The Univeristy of Manchester. [Downloadable!]
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Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge. [Downloadable!]
POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris. [Downloadable!]
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Susan Thorp & George Milunovich, 2006. "Information processing and measures of integration: New York, London and Tokyo," Research Paper Series 177, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Christiansen, Charlotte, 2005. "Decomposing European bond and equity volatility," Finance Research Group Working Papers F-2004-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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Helena Chuliá Soler & Pilar Soriano Felipe & Francisco Climent & Hipòlit Torró, 2007. "Volatility Transmission Patterns And Terrorist Attacks," Working Papers. Serie EC 2007-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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Christiansen, Charlotte, 2003. "Volatility-Spillover E ﬀects in European Bond Markets," Finance Working Papers 03-8, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]

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