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Lorenzo Cappiello

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.

    Cited by:

    1. Sungyong Park & Wendun Wang & Naijing Huang, 2015. "Testing for Stock Market Contagion: A Quantile Regression Approach," Tinbergen Institute Discussion Papers 15-040/III, Tinbergen Institute.

  2. Lorenzo CAPPIELLO & Tom A. Fearnley, 2000. "International CAPM with Regime Switching GARCH Parameters," FAME Research Paper Series rp17, International Center for Financial Asset Management and Engineering.

    Cited by:

    1. Buckley, Ian & Saunders, David & Seco, Luis, 2008. "Portfolio optimization when asset returns have the Gaussian mixture distribution," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1434-1461, March.
    2. Francesco Giurda & Elias Tzavalis, 2004. "Is the Currency Risk Priced in Equity Markets?," Working Papers 511, Queen Mary University of London, School of Economics and Finance.
    3. Tom A. FEARNLEY, 2002. "Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts," FAME Research Paper Series rp97, International Center for Financial Asset Management and Engineering.
    4. Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
    5. Lucas L. Godeiro & Bruno Ferreira Frascaroli Cassio da Nobrega Besarria & Sinezio Fernandes Maia, 2017. "International CAPM, Dynamic Betas and Optimization of Portfolios: Are countries-risk more profitable?," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(4), pages 1-3.
    6. Hayette Gatfaoui, 2010. "Capital Asset Pricing Model," Post-Print hal-00589904, HAL.
    7. Tom A. FEARNLEY, 2002. "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series rp95, International Center for Financial Asset Management and Engineering.

Articles

  1. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.

    Cited by:

    1. Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
    2. Miklesh Yadav & Nandita Mishra & Shruti Ashok, 2023. "Dynamic connectedness of green bond with financial markets of European countries under OECD economies," Economic Change and Restructuring, Springer, vol. 56(1), pages 609-631, February.
    3. Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019. "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, vol. 61(C), pages 441-460.
    4. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
    5. Areola Hernandez, Jose & Uddin, Gazi Salah & Dutta, Anupam & Ahmed, Ali & Kang, Sang Hoon, 2020. "Are ethanol markets globalized or regionalized?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    6. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
    7. Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
    8. Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
    9. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
    10. Asai Manabu & So Mike K.P., 2015. "Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 1-26, January.
    11. Anna Pauliina Sandqvist, 2017. "Dynamics of sectoral business cycle comovement," Applied Economics, Taylor & Francis Journals, vol. 49(47), pages 4742-4759, October.
    12. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
    13. Thomas Chiang & Jiandong Li & Sheng-Yung Yang, 2015. "Dynamic stock–bond return correlations and financial market uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 59-88, July.
    14. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019. "Return spillovers around the globe: A network approach," Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
    15. Haffar, Adlane & Le Fur, Éric, 2022. "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 211-220.
    16. Mayank Gupta & Jan Novotny, 2016. "The Dynamics of Value Comovement across Global Equity Markets," CERGE-EI Working Papers wp560, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    17. Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2017. "Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas," DES - Working Papers. Statistics and Econometrics. WS 24552, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    19. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
    20. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-37, May.
    21. João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
    22. Bunda, Irina & Hamann, A. Javier & Lall, Subir, 2009. "Correlations in emerging market bonds: The role of local and global factors," Emerging Markets Review, Elsevier, vol. 10(2), pages 67-96, June.
    23. Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
    24. Aviral Kumar Tiwari & Mihai Ioan Mutascu & Claudiu Tiberiu Albulescu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," Post-Print hal-03528475, HAL.
    25. Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
    26. T. Berger & L. Pozzi, 2011. "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/714, Ghent University, Faculty of Economics and Business Administration.
    27. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2016. "A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
    28. Cathy Ning & Loran Chollete, 2012. "Asymmetric Dependence between Aggregate Consumption and Financial Risk," Working Papers 046, Ryerson University, Department of Economics.
    29. Małgorzata Doman & Ryszard Doman, 2013. "Dynamic linkages between stock markets: the effects of crises and globalization," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 87-112, August.
    30. Rodrigue Dossou-Cadja, 2024. "The 1992-93 EMS Crisis and the South: Lessons from the Franc Zone System and the 1994 CFA Franc Devaluation," Working Papers 0246, European Historical Economics Society (EHES).
    31. Shah, Anand & Bahri, Anu, 2022. "Metanomics: Adaptive market and volatility behaviour in Metaverse," MPRA Paper 114442, University Library of Munich, Germany.
    32. Massimiliano Caporin & Michael McAleer, 2010. "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers 738, Kyoto University, Institute of Economic Research.
    33. Skintzi, Vasiliki D., 2019. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
    34. Lakshmi Balasubramanyan, 2005. "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance 0509002, University Library of Munich, Germany.
    35. Mongelli, Francesco Paolo & Vega, Juan Luis, 2006. "What effects is EMU having on the euro area and its member countries? An overview," Working Paper Series 599, European Central Bank.
    36. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    37. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
    38. Palandri, Alessandro, 2009. "Sequential conditional correlations: Inference and evaluation," Journal of Econometrics, Elsevier, vol. 153(2), pages 122-132, December.
    39. Chantapacdepong, Pornpinun & Shim, Ilhyock, 2015. "Correlations across Asia-Pacific bond markets and the impact of capital flow management measures," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 71-101.
    40. Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2015. "Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test," Applied Economics, Taylor & Francis Journals, vol. 47(46), pages 4996-5011, October.
    41. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
    42. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
    43. Hussain Shahzad, Syed Jawad & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2020. "Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin," Economic Modelling, Elsevier, vol. 87(C), pages 212-224.
    44. Cameron MacDonald & Maarten van Oordt & Robin Scott, 2016. "Implementing Market-Based Indicators to Monitor Vulnerabilities of Financial Institutions," Staff Analytical Notes 16-5, Bank of Canada.
    45. Payal Jain & Sanjay Sehgal, 2019. "An examination of return and volatility spillovers between mature equity markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 180-210, January.
    46. Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
    47. Franck Martin & Mai Lan Nguyen, 2015. "Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?," Post-Print halshs-01184072, HAL.
    48. Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
    49. Gjika, Dritan & Horváth, Roman, 2013. "Stock market comovements in Central Europe: Evidence from the asymmetric DCC model," Economic Modelling, Elsevier, vol. 33(C), pages 55-64.
    50. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
    51. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    52. Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
    53. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
    54. Mishra, Abinash & Srivastava, Pranjal & Chakrabarti, Anindya S., 2020. "'Too central to fail' firms in bi-layered financial networks: Evidence of linkages from the US corporate bond and stock markets," IIMA Working Papers WP 2020-06-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    55. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    56. Portes, Richard & Papaioannou, Elias & Siourounis, Gregorios, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," CEPR Discussion Papers 5734, C.E.P.R. Discussion Papers.
    57. Jiang, Yonghong & Jiang, Cheng & Nie, He & Mo, Bin, 2019. "The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses," Energy, Elsevier, vol. 166(C), pages 577-586.
    58. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    59. Nguyen, Hoang & Javed, Farrukh, 2021. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers 2021:15, Örebro University, School of Business.
    60. Irfan Akbar Kazi & Suzanne Salloy, 2013. "Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers," Working Papers hal-04141216, HAL.
    61. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    62. Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
    63. Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
    64. Mohamed Yousfi & Abderrazak Dhaoui & Houssam Bouzgarrou, 2021. "Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management," JRFM, MDPI, vol. 14(5), pages 1-29, May.
    65. Theodosios Perifanis & Athanasios Dagoumas, 2020. "Price and Volatility Spillovers between Crude Oil and Natural Gas markets in Europe and Japan-Korea," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 432-446.
    66. Narayan, S. & Sriananthakumar, S. & Islam, S.Z., 2014. "Stock market integration of emerging Asian economies: Patterns and causes," Economic Modelling, Elsevier, vol. 39(C), pages 19-31.
    67. Erica R. PEREGO & Wessel N. VERMEULEN, 2013. "Macroeconomic determinants of European stock and government bond correlations: A tale of two regions," LIDAM Discussion Papers IRES 2013013, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    68. Jean-David Fermanian & Hassan Malongo, 2013. "On the Stationarity of Dynamic Conditional Correlation Models," Working Papers 2013-26, Center for Research in Economics and Statistics.
    69. Roel Beetsma & Koen Vermeylen, 2005. "The Effect of Monetary Unification on Public Debt and its Real Return," CESifo Working Paper Series 1400, CESifo.
    70. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo.
    71. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Worldwide Evidences in the Relationships between Agriculture, Energy and Water Sectors," 2014 International European Forum, February 17-21, 2014, Innsbruck-Igls, Austria 199346, International European Forum on System Dynamics and Innovation in Food Networks.
    72. Christian Hafner & Philip Hans Franses, 2009. "A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 612-631.
    73. Xu, Weiju & Ma, Feng & Chen, Wang & Zhang, Bing, 2019. "Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States," Energy Economics, Elsevier, vol. 80(C), pages 310-320.
    74. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016. "Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators," Finance Research Letters, Elsevier, vol. 17(C), pages 158-166.
    75. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe," Review of Derivatives Research, Springer, vol. 22(2), pages 203-259, July.
    76. Pragidis, I.C. & Aielli, G.P. & Chionis, D. & Schizas, P., 2015. "Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market," Journal of Financial Stability, Elsevier, vol. 18(C), pages 127-138.
    77. Marcel Wollschlager & Rudi Schafer, 2015. "Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns," Papers 1506.08054, arXiv.org.
    78. Tetsuji Tanaka & Jin Guo, 2020. "How does the self-sufficiency rate affect international price volatility transmissions in the wheat sector? Evidence from wheat-exporting countries," Palgrave Communications, Palgrave Macmillan, vol. 7(1), pages 1-13, December.
    79. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    80. Li, Xiao-Ming & Zhang, Bing & Gao, Ruzhao, 2015. "Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market," Economics Letters, Elsevier, vol. 132(C), pages 91-96.
    81. Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021. "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 43-83, March.
    82. Susovon Jana & Tarak N. Sahu, 2023. "Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 52(3), November.
    83. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Ghardallou, Wafa & Umar, Zaghum, 2022. "Is greenness an optimal hedge for sectoral stock indices?," Economic Modelling, Elsevier, vol. 117(C).
    84. Alexei Kolokolov, 2011. "Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)," Quantile, Quantile, issue 9, pages 61-75, July.
    85. Guilherme Valle Moura & João Frois Caldeira & André Santos, 2014. "Seleção De Carteiras Utilizando O Modelofama-French-Carhart," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 117, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    86. Libin Yang & William Rea & Alethea Rea, 2015. "How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange," Working Papers in Economics 15/07, University of Canterbury, Department of Economics and Finance.
    87. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
    88. Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, vol. 231(2), pages 348-360.
    89. Chang, Kuang-Liang, 2023. "The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate," Journal of International Money and Finance, Elsevier, vol. 133(C).
    90. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2017. "Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets," Economic Modelling, Elsevier, vol. 66(C), pages 112-120.
    91. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence," JRFM, MDPI, vol. 12(1), pages 1-23, January.
    92. Evzen Kocenda & Vit Bubak & Filip Zikes, 2011. "Volatility Transmission in Emerging European Foreign Exchange Markets," William Davidson Institute Working Papers Series wp1020, William Davidson Institute at the University of Michigan.
    93. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    94. Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Syed Ali, 2018. "Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach," Resources Policy, Elsevier, vol. 57(C), pages 10-29.
    95. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
    96. Panchenko, Valentyn & Wu, Eliza, 2009. "Time-varying market integration and stock and bond return concordance in emerging markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1014-1021, June.
    97. Saart, Patrick W. & Xia, Yingcun, 2022. "Functional time series approach to analyzing asset returns co-movements," Journal of Econometrics, Elsevier, vol. 229(1), pages 127-151.
    98. Suzanne Salloy & Irfan Akbar Kazi, 2013. "Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis: From the perspective of the Credit Default Swaps’ G14 dealers," Erudite Working Paper 2013-02, Erudite.
    99. Eraslan, Sercan & Ali, Faek Menla, 2017. "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers 17/2017, Deutsche Bundesbank.
    100. Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
    101. Janda, Karel & Kristoufek, Ladislav & Zhang, Binyi, 2022. "Return and volatility spillovers between Chinese and U.S. clean energy related stocks," Energy Economics, Elsevier, vol. 108(C).
    102. Shumi Akhtar & Farida Akhtar & Maria Jahromi & Kose John, 2023. "Volatility linkages and value gains from diversifying with Islamic assets," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 54(8), pages 1495-1528, October.
    103. Elie Bouri & Naji Jalkh & Peter Molnár & David Roubaud, 2017. "Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?," Applied Economics, Taylor & Francis Journals, vol. 49(50), pages 5063-5073, October.
    104. Bayraci, Selcuk, 2015. "Return, shock and volatility co-movements between the bond markets of Turkey and developed countries," MPRA Paper 65758, University Library of Munich, Germany.
    105. Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
    106. Li, Xiao-Ming, 2011. "How do exchange rates co-move? A study on the currencies of five inflation-targeting countries," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 418-429, February.
    107. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    108. Burzala, Milda Maria, 2016. "Contagion effects in selected European capital markets during the financial crisis of 2007–2009," Research in International Business and Finance, Elsevier, vol. 37(C), pages 556-571.
    109. Boubakri, Salem & Couharde, Cécile & Raymond, Hélène, 2016. "Effects of financial turmoil on financial integration and risk premia in emerging markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 120-138.
    110. Saif Siddiqui & Preeti Roy, 2019. "Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(6), pages 1597-1611.
    111. He, Zhongfang, 2018. "A Class of Generalized Dynamic Correlation Models," MPRA Paper 84820, University Library of Munich, Germany.
    112. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    113. Baur, Dirk G., 2013. "The structure and degree of dependence: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 786-798.
    114. Morema, Kgotso & Bonga-Bonga, Lumengo, 2020. "The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications," Resources Policy, Elsevier, vol. 68(C).
    115. Wang, Jinghua & Ngene, Geoffrey M., 2020. "Does Bitcoin still own the dominant power? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
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    117. Min Bai & Ly Ho, 2023. "How do gold and oil react to the COVID-19 pandemic: A review," Energy & Environment, , vol. 34(7), pages 2876-2902, November.
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