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Stability and forecasting of the comovement measures of international stock market returns

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Kaplanis, Evi C.
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 7 (1988)
Issue (Month): 1 (March)
Pages: 63-75
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Handle: RePEc:eee:jimfin:v:7:y:1988:i:1:p:63-75

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Heung-Joo Cha & Thadavillil Jithendranathan, 2009. "Time-varying correlations and optimal allocation in emerging market equities for the US investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 172-187. [Downloadable!]
  2. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, EconWPA. [Downloadable!]
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  3. Marie Brière & Ariane Chapelle & Ariane Szafarz, 2008. "No contagion,only globalization and flight to quality," Working Papers CEB 08-018.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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  4. Longin, François & Solnik, Bruno H, 2000. "Extreme Correlation of International Equity Markets," CEPR Discussion Papers 2538, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  5. François, LONGIN & Bruno, SOLNIK, 1998. "Correlation Structure of International Equity Markets During Extremely Volatile Periods," Les Cahiers de Recherche 646, HEC Paris. [Downloadable!]
  6. LONGIN, François & SOLNIK, Bruno, 2000. "Extreme correlation of international equity markets," Les Cahiers de Recherche 705, HEC Paris. [Downloadable!]
  7. Jose M. Campa & P. H. Kevin Chang, 1997. "The Forecasting Ability of Correlations Implied in Foreign Exchange Options," NBER Working Papers 5974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Piet M.A. Eichholtz, 1996. "The Stability of the Covariances of International Property Share Returns," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 149-158. [Downloadable!]
  9. William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003. "Long-Term Global Market Correlations," DNB Staff Reports (discontinued) 98, Netherlands Central Bank. [Downloadable!]
    Other versions:
  10. Thomas Kraus, 2001. "The Impact of the EMU on the Structure of European Equity Returns - An Empirical Analysis of the First 21 Months," IMF Working Papers 01/84, International Monetary Fund. [Downloadable!]
  11. Matthias Fischer, 2007. "Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes," SFB 649 Discussion Papers SFB649DP2007-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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