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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

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Cited by:

  1. Sunil S. Poshakwale & Anandadeep Mandal, 2017. "Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 859-892, May.
  2. Pesaran, M.H., 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," Cambridge Working Papers in Economics 1033, Faculty of Economics, University of Cambridge.
  3. 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.
  4. Maghyereh, Aktham I. & Awartani, Basel & Hilu, Khalil Al, 2015. "Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 123-138.
  5. Thomas Dimpfl & Robert C. Jung, 2012. "Financial market spillovers around the globe," Applied Financial Economics, Taylor & Francis Journals, vol. 22(1), pages 45-57, January.
  6. Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012. "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 165-184.
  7. Mila Andreani & Vincenzo Candila & Giacomo Morelli & Lea Petrella, 2021. "Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach," Risks, MDPI, vol. 9(8), pages 1-20, August.
  8. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
  9. Sun, Xiaolei & Li, Jianping & Tang, Ling & Wu, Dengsheng, 2012. "Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies," Economic Modelling, Elsevier, vol. 29(6), pages 2494-2503.
  10. Mohammad A. H. PRADHAN & Gias Uddin KHAN, 2015. "Role of Remittance for Improving Quality of Life: Evidence from Bangladesh," Turkish Economic Review, KSP Journals, vol. 2(3), pages 160-168, September.
  11. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
  12. Andrew S. Duncan & Alain Kabundi, 2014. "Global Financial Crises and Time-Varying Volatility Comovement in World Equity Markets," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 531-550, December.
  13. Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
  14. Wadud, Sania & Gronwald, Marc & Durand, Robert B. & Lee, Seungho, 2023. "Co-movement between commodity and equity markets revisited—An application of the Thick Pen method," International Review of Financial Analysis, Elsevier, vol. 87(C).
  15. Marco Tronzano, 2022. "Optimal Portfolio Allocation between Global Stock Indexes and Safe Haven Assets: Gold versus the Swiss Franc (1999–2021)," JRFM, MDPI, vol. 15(6), pages 1-24, May.
  16. Fu, Guomin & Zhu, Sijia, 2023. "Innovation, financial risk and natural resources for sustainable development: Fresh evidence from BRICS economies," Resources Policy, Elsevier, vol. 80(C).
  17. Naseri, Marjan & Masih, Mansur, 2014. "Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia," MPRA Paper 58799, University Library of Munich, Germany.
  18. Rosenthal, Dale W.R., 2009. "Market structure, counterparty risk, and systemic risk," MPRA Paper 36786, University Library of Munich, Germany, revised 19 Dec 2011.
  19. Bailey, Natalia & Pesaran, M. Hashem & Smith, L. Vanessa, 2019. "A multiple testing approach to the regularisation of large sample correlation matrices," Journal of Econometrics, Elsevier, vol. 208(2), pages 507-534.
  20. Chowdhury, Mohammad Ashraful Ferdous & Abdullah, Mohammad & Masih, Mansur, 2022. "COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  21. Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani, 2017. "Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach," Papers 1710.03211, arXiv.org, revised Feb 2020.
  22. Marco Tronzano, 2021. "Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)," JRFM, MDPI, vol. 14(3), pages 1-25, March.
  23. Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
  24. Vincenzo Candila, 2021. "Multivariate Analysis of Cryptocurrencies," Econometrics, MDPI, vol. 9(3), pages 1-17, July.
  25. Rainer Jobst & Daniel Rösch & Harald Scheule & Martin Schmelzle, 2015. "A Simple Econometric Approach for Modeling Stress Event Intensities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 300-320, April.
  26. Rowland Tochukwu Obiakor & Kingsley Ikechukwu Okere & Obumneke Bob Muoneke & Nnamdi Chinwendu Nwaeze, 2022. "Accounting for the symmetric and asymmetric effects of FDI-growth nexus amidst financial crises, economic crises and COVID-19 pandemic: application of hidden co-integration," Future Business Journal, Springer, vol. 8(1), pages 1-15, December.
  27. Evans Brako Ntiamoah & Dongmei Li & Bismark Ameyaw & Daniel Bruce Sarpong & Martinson Twumasi Ankrah & Edmond Yeboah Nyamah, 2022. "A data‐driven approach to mitigating food insecurity and achieving zero hunger: A case study of West African countries," Natural Resources Forum, Blackwell Publishing, vol. 46(2), pages 157-178, May.
  28. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
  29. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.
  30. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.
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