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Increasing correlations or just fat tails?

Citations

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Cited by:

  1. Daniel Bartz & Kerr Hatrick & Christian W Hesse & Klaus-Robert Müller & Steven Lemm, 2013. "Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-14, July.
  2. Josua Gösmann & Daniel Ziggel, 2018. "An innovative risk management methodology for trading equity indices based on change points," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 99-109, March.
  3. Mittnik, Stefan, 2014. "VaR-implied tail-correlation matrices," Economics Letters, Elsevier, vol. 122(1), pages 69-73.
  4. Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012. "Stock return autocorrelations revisited: A quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 254-265.
  5. Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett, 2015. "Emergence of statistically validated financial intraday lead-lag relationships," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1375-1386, August.
  6. Kaiser, Jonas & Krämer, Walter, 2011. "A cautionary note on computing conditional from unconditional correlations," Economics Letters, Elsevier, vol. 111(2), pages 176-179, May.
  7. Jacobs, Michael & Karagozoglu, Ahmet K., 2014. "On the characteristics of dynamic correlations between asset pairs," Research in International Business and Finance, Elsevier, vol. 32(C), pages 60-82.
  8. Y Hoga, 2018. "A structural break test for extremal dependence in β-mixing random vectors," Biometrika, Biometrika Trust, vol. 105(3), pages 627-643.
  9. Paul R. Dewick & Shuangzhe Liu & Yonghui Liu & Tiefeng Ma, 2023. "Elliptical and Skew-Elliptical Regression Models and Their Applications to Financial Data Analytics," JRFM, MDPI, vol. 16(7), pages 1-20, June.
  10. Tse, Chi K. & Liu, Jing & Lau, Francis C.M., 2010. "A network perspective of the stock market," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 659-667, September.
  11. Paula V. Tofoli & Flavio A. Ziegelmann & Osvaldo Candido, 2017. "A Comparison Study of Copula Models for Europea Financial Index Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(10), pages 155-178, October.
  12. repec:dau:papers:123456789/6804 is not listed on IDEAS
  13. Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given on mortgage loans," Research Discussion Papers 3/2009, Bank of Finland.
  14. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
  15. Paulo Sergio Ceretta & Marcelo Brutti Righi & Alexandre Silva Da costa & Fernanda Maria Muller, 2012. "Quantiles autocorrelation in stock markets returns," Economics Bulletin, AccessEcon, vol. 32(3), pages 2065-2075.
  16. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
  17. Ni, Zhong-Xin & Wang, Da-Zhong & Xue, Wen-Jun, 2015. "Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model," Economic Modelling, Elsevier, vol. 50(C), pages 266-274.
  18. Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley, 2015. "Partial correlation analysis: applications for financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 569-578, April.
  19. Tjøstheim, Dag & Hufthammer, Karl Ove, 2013. "Local Gaussian correlation: A new measure of dependence," Journal of Econometrics, Elsevier, vol. 172(1), pages 33-48.
  20. repec:zbw:bofrdp:2009_003 is not listed on IDEAS
  21. Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley, 2014. "Partial correlation analysis: Applications for financial markets," Papers 1402.1405, arXiv.org.
  22. Krämer, Walter & van Kampen, Maarten, 2011. "A simple nonparametric test for structural change in joint tail probabilities," Economics Letters, Elsevier, vol. 110(3), pages 245-247, March.
  23. repec:dau:papers:123456789/7746 is not listed on IDEAS
  24. Chunpeng Yang & Jun Chi, 2023. "Investor sentiment and volatility of exchange‐traded funds: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 668-680, January.
  25. Daniel Bartz & Kerr Hatrick & Christian W. Hesse & Klaus-Robert Muller & Steven Lemm, 2011. "Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization," Papers 1109.3069, arXiv.org, revised Mar 2012.
  26. Nicolai Bissantz & Daniel Ziggel & Kathrin Bissantz, 2011. "An Empirical Study of Correlation and Volatility Changes of Stock Indices and their Impact on Risk Figures," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 4(4), pages 127-141, August.
  27. Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given on mortgage loans," Bank of Finland Research Discussion Papers 3/2009, Bank of Finland.
  28. Riadh Abed & Amna Zardoub, 2019. "On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach," International Economics and Economic Policy, Springer, vol. 16(4), pages 701-719, October.
  29. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1111-1127, November.
  30. Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
  31. Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012. "Regime switches in the volatility and correlation of financial institutions," Working Paper Research 227, National Bank of Belgium.
  32. Gębka, Bartosz & Wohar, Mark E., 2013. "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 51-61.
  33. Galeano, Pedro & Wied, Dominik, 2014. "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 262-282.
  34. T. Miyazaki & S. Hamori, 2016. "Asymmetric correlations in gold and other financial markets," Applied Economics, Taylor & Francis Journals, vol. 48(46), pages 4419-4425, October.
  35. Mbatha, Vusisizwe Moses & Alovokpinhou, Sedjro Aaron, 2022. "The structure of the South African stock market network during COVID-19 hard lockdown," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 590(C).
  36. Chang, Kuang-Liang, 2014. "The symmetrical and positive relationship between crude oil and nominal exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 266-284.
  37. Becker, Christoph & Schmidt, Wolfgang M., 2015. "How past market movements affect correlation and volatility," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 78-107.
  38. Yao, Hongxing & Memon, Bilal Ahmed, 2019. "Network topology of FTSE 100 Index companies: From the perspective of Brexit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1248-1262.
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