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Gregorio A. Vargas

Personal Details

First Name:Gregorio
Middle Name:A.
Last Name:Vargas
Suffix:
RePEc Short-ID:pva233
[This author has chosen not to make the email address public]

Research output

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Jump to: Working papers

Working papers

  1. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany.
  2. Vargas, Gregorio A., 2006. "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper 189, University Library of Munich, Germany, revised Aug 2006.
  3. Vargas, Gregorio A., 2005. "Macroeconomic Determinants of the Movement of the Yield Curve," MPRA Paper 53117, University Library of Munich, Germany.

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. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany.

    Cited by:

    1. 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.
    2. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
    3. Sofiane Aboura & Julien Chevallier, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Post-Print hal-01529747, HAL.
    4. Aboura, Sofiane & Chevallier, Julien, 2018. "Tail risk and the return-volatility relation," Research in International Business and Finance, Elsevier, vol. 46(C), pages 16-29.
    5. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," Working Papers hal-04141310, HAL.
    6. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    7. Prange, Philipp, 2021. "Does online investor attention drive the co-movement of stock-, commodity-, and energy markets? Insights from Google searches," Energy Economics, Elsevier, vol. 99(C).
    8. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
    9. Takashi Kanamura, 2023. "Portfolio diversification and sustainable assets from new perspectives," Journal of Asset Management, Palgrave Macmillan, vol. 24(7), pages 581-600, December.
    10. Koenig, P., 2011. "Modelling Correlation in Carbon and Energy Markets," Cambridge Working Papers in Economics 1123, Faculty of Economics, University of Cambridge.
    11. Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.
    12. Mapa, Dennis S. & Paz, Nino Joseph I. & Eustaquio, John D. & Mindanao, Miguel Antonio C., 2014. "Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model," MPRA Paper 55861, University Library of Munich, Germany.

  2. Vargas, Gregorio A., 2006. "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper 189, University Library of Munich, Germany, revised Aug 2006.

    Cited by:

    1. Hakim, Abdul & McAleer, Michael, 2009. "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2830-2846.
    2. Linyue Li & Nan Zhang & Thomas D. Willett, 2012. "Measuring macroeconomic and financial market interdependence: a critical survey," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 4(2), pages 128-145, May.
    3. Jin Xisong & Lehnert Thorsten, 2018. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 19-46, February.

  3. Vargas, Gregorio A., 2005. "Macroeconomic Determinants of the Movement of the Yield Curve," MPRA Paper 53117, University Library of Munich, Germany.

    Cited by:

    1. Elizondo Rocío, 2023. "The Three Intelligible Factors of the Yield Curve in Mexico," Working Papers 2023-13, Banco de México.
    2. Ákos Máté & Miklós Sebők & Tamás Barczikay, 2021. "The effect of central bank communication on sovereign bond yields: The case of Hungary," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-28, February.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2006-10-14
  2. NEP-FIN: Finance (1) 2006-10-14
  3. NEP-FOR: Forecasting (1) 2006-10-14
  4. NEP-IFN: International Finance (1) 2008-02-23
  5. NEP-MST: Market Microstructure (1) 2008-02-23

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