Asymmetric correlations in equity returns: a fundamental-based explanation
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References listed on IDEAS
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
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- Joëts, Marc, 2014.
"Energy price transmissions during extreme movements,"
Elsevier, vol. 40(C), pages 392-399.
- Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris Nanterre, EconomiX.
- Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
- repec:ipg:wpaper:28 is not listed on IDEAS
- Zhang, Chen & Ni, Zhiwei & Ni, Liping & Li, Jingming & Zhou, Longfei, 2016. "Asymmetric multifractal detrending moving average analysis in time series of PM2.5 concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 322-330.
- repec:ipg:wpaper:2013-028 is not listed on IDEAS
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2011. "The instability of the correlation structure of the S&P 500," MPRA Paper 34160, University Library of Munich, Germany.
- Marc Joëts, 2013. "Energy price transmissions during extreme movements," Working Papers 2013-28, Department of Research, Ipag Business School.
- repec:eee:phsmap:v:505:y:2018:i:c:p:316-327 is not listed on IDEAS
- Zhang, Chen & Ni, Zhiwei & Ni, Liping, 2016. "Asymmetric multiscale behavior in PM2.5 time series: Based on asymmetric MS-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 355-365.
- Cao, Guangxi & Cao, Jie & Xu, Longbing & He, LingYun, 2014. "Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 460-469.
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