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Citations for "Is the correlation in international equity returns constant: 1960-1990?"

by Longin, Francois & Solnik, Bruno

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  1. Marie Briere & Ariane Szafarz, 2008. "Crisis-Robust Bond Portfolios," ULB Institutional Repository 2013/14150, ULB -- Universite Libre de Bruxelles.
  2. repec:ipg:wpaper:28 is not listed on IDEAS
  3. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance finance:201003, Griffith University, Department of Accounting, Finance and Economics.
  4. Horvath, Roman & Petrovski, Dragan, 2013. "International stock market integration: Central and South Eastern Europe compared," Economic Systems, Elsevier, vol. 37(1), pages 81-91.
  5. Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
  6. Anginer, Deniz & Demirguc-Kunt, Asli, 2014. "Has the global banking system become more fragile over time?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 202-213.
  7. Okimoto, Tatsuyoshi, 2014. "Asymmetric increasing trends in dependence in international equity markets," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 219-232.
  8. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008. "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management ERS-2008-071-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  9. Mehl, Arnaud, 2013. "Large global volatility shocks, equity markets and globalisation: 1885-2011," Working Paper Series 1548, European Central Bank.
  10. Pierdzioch, Christian & Schertler, Andrea, 2008. "Investing in European stock markets for high-technology firms," Global Finance Journal, Elsevier, vol. 18(3), pages 400-415.
  11. Kim Hiang Liow & Qing Ye, 2014. "Switching volatility and cross-market linkages in public property markets," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 287-314, December.
  12. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," Les Cahiers de Recherche 710, HEC Paris.
  13. Gang-Zhi Fan & Zsuzsa Huszár & Weina Zhang, 2013. "The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 568-595, May.
  14. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
  15. Maarten R.C. van Oordt & Chen Zhou, 2011. "The simple econometrics of tail dependence," DNB Working Papers 296, Netherlands Central Bank, Research Department.
  16. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2014. "Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market," Discussion Papers in Economics and Business 14-01, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  17. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  18. Lahrech, Abdelmounaim & Sylwester, Kevin, 2013. "The impact of NAFTA on North American stock market linkages," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 94-108.
  19. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
  20. Ding, Liang & Huang, Yirong & Pu, Xiaoling, 2014. "Volatility linkage across global equity markets," Global Finance Journal, Elsevier, vol. 25(2), pages 71-89.
  21. Antonio Cosma & antonio.cosma@uni.lu & Michel Beine & Robert Vermeulen, 2009. "The Dark Side of Global Integration: Increasing Tail Dependence," LSF Research Working Paper Series 09-05, Luxembourg School of Finance, University of Luxembourg.
  22. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
  23. Bera, Anil K. & Kim, Sangwhan, 2002. "Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 171-195, March.
  24. Denitsa Stefanova, 2012. "Stock Market Asymmetries: A Copula Diffusion," Tinbergen Institute Discussion Papers 12-125/IV/DSF45, Tinbergen Institute.
  25. Fedorov, Pavel & Sarkissian, Sergei, 2000. "Cross-sectional variations in the degree of global integration: the case of Russian equities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 131-150, June.
  26. Marie Briere & Ariane Chapelle & Ariane Szafarz, 2008. "No contagion, only globalization and flight to quality," DULBEA Working Papers 08-22.RS, ULB -- Universite Libre de Bruxelles.
  27. Berger, Tino & Pozzi, Lorenzo, 2013. "Measuring time-varying financial market integration: An unobserved components approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 463-473.
  28. Chakrabarti, Rajesh & Roll, Richard, 2002. "East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis," Journal of Financial Markets, Elsevier, vol. 5(1), pages 1-30, January.
  29. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
  30. Johnsona, Robert R. & Buetow, Gerald W. & Jensen, Gerald R., 1999. "International mutual fund returns and Federal Reserve policy," Financial Services Review, Elsevier, vol. 8(3), pages 199-210.
  31. Khan, Salman & Batteau, Pierre, 2011. "Should the government directly intervene in stock market during a crisis?," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 350-359.
  32. Lim, Lee K., 2009. "Convergence and interdependence between ASEAN-5 stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2957-2966.
  33. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
  34. Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin, 2013. "Correlation Dynamics and International Diversification Benefits," CREATES Research Papers 2013-49, School of Economics and Management, University of Aarhus.
  35. Guglielmo Maria Caporale & Marianne Schulze-Ghattas & John Beirne & Nicola Spagnolo, 2008. "Volatility Spillovers and Contagion From Mature to Emerging Stock Markets," IMF Working Papers 08/286, International Monetary Fund.
  36. Gupta, R. & Donleavy, G.D., 2009. "Benefits of diversifying investments into emerging markets with time-varying correlations: An Australian perspective," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 160-177, April.
  37. el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening," MPRA Paper 57685, University Library of Munich, Germany.
  38. Yildirim, Ramazan & Masih, A. Mansur M., 2014. "The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis," MPRA Paper 58269, University Library of Munich, Germany.
  39. Jonathan Heathcote & Fabrizio Perri, 2002. "Financial Globalization and Real Regionalization," NBER Working Papers 9292, National Bureau of Economic Research, Inc.
  40. Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis, 2009. "A State Dependent Regime Switching Model of Dynamic Correlations," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49370, Agricultural and Applied Economics Association.
  41. John Cotter & Stuart Gabriel & Richard Roll, 2011. "Integration and Contagion in US Housing Markets," Working Papers 201131, Geary Institute, University College Dublin.
  42. Lehkonen, Heikki & Heimonen, Kari, 2014. "Timescale-dependent stock market comovement: BRICs vs. developed markets," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 90-103.
  43. Dick van Dijk & Haris Munandar & Christian Hafner, 2011. "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 95-116.
  44. De Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic risk: A survey," Working Paper Series 0035, European Central Bank.
  45. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  46. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
  47. Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
  48. Twm Evans & David G. McMillan, 2009. "Financial co-movement and correlation: evidence from 33 international stock market indices," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 215-241.
  49. Suthawan Prukumpai & Yuthana Sethapramote, 2013. "Exploring the Dynamic Interdependence among the East Asian Stock Markets," Diversity, Technology, and Innovation for Operational Competitiveness: Proceedings of the 2013 International Conference on Technology Innovation and Industrial Management, ToKnowPress.
  50. Chiny, Faycal, 2013. "La modélisation des interactions entre les corrélations et les volatilités des marchés financiers Marocain, Français, Américain et Japonais
    [Modeling the interactions between correlations and volat
    ," MPRA Paper 51537, University Library of Munich, Germany.
  51. Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005. "Empirical modelling of contagion: a review of methodologies," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 9-24.
  52. Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 27, May.
  53. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  54. repec:lan:wpaper:2452 is not listed on IDEAS
  55. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005. "International Stock Return Comovements," Working Papers 06-3, University of Pennsylvania, Wharton School, Weiss Center.
  56. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
  57. Mahfuzul Haque & Imen Kouki, 2009. "Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(3), pages 261-276, May.
  58. GABRIEL, Victor Manuel de Sousa & MANSO, José Ramos Pires, 2014. "Financial Crisis And Stock Market Linkages," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 23(4), pages 133-148.
  59. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris.
  60. Olfa Kaabia & Ilyes Abid, 2012. "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries : A FAVAR Model Under Bayesian Framework," EconomiX Working Papers 2012-40, University of Paris West - Nanterre la Défense, EconomiX.
  61. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
  62. Mittnik, Stefan, 2014. "VaR-implied tail-correlation matrices," Economics Letters, Elsevier, vol. 122(1), pages 69-73.
  63. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  64. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
  65. S Zhang & I Paya & D Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Working Papers 599248, Lancaster University Management School, Economics Department.
  66. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA
    [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]
    ," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
  67. Zouheir Mighri & Faysal Mansouri, 2013. "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 637-661.
  68. Abdul Hakim & Michael McAleer, 2009. "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CIRJE F-Series CIRJE-F-677, CIRJE, Faculty of Economics, University of Tokyo.
  69. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
  70. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
  71. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  72. Robert Vermeulen, 2011. "International Diversification During the Financial Crisis: A Blessing for Equity Investors?," DNB Working Papers 324, Netherlands Central Bank, Research Department.
  73. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
  74. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
  75. Sensoy, Ahmet & Soytas, Ugur & Yildirim, Irem & Hacihasanoglu, Erk, 2014. "Dynamic relationship between Turkey and European countries during the global financial crisis," Economic Modelling, Elsevier, vol. 40(C), pages 290-298.
  76. repec:wyi:journl:002068 is not listed on IDEAS
  77. Lee, Hsien-Yi & Wu, Hsing-Chi & Wang, Yung-Jang, 2007. "Contagion effect in financial markets after the South-East Asia Tsunami," Research in International Business and Finance, Elsevier, vol. 21(2), pages 281-296, June.
  78. Naranjo, Andy & Porter, Burt, 2007. "Including emerging markets in international momentum investment strategies," Emerging Markets Review, Elsevier, vol. 8(2), pages 147-166, May.
  79. Nicholas Apergis & Christina Christou & Stephen M. Miller, 2010. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working papers 2010-33, University of Connecticut, Department of Economics, revised Jul 2012.
  80. Leonard MacLean & Yonggan Zhao & William Ziemba, 2013. "Currency returns, market regimes and behavioral biases," Annals of Finance, Springer, vol. 9(2), pages 249-269, May.
  81. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  82. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Exploring Diversification Benefits in Asia-Pacific Equity Markets," MPRA Paper 60180, University Library of Munich, Germany.
  83. repec:wyi:journl:002141 is not listed on IDEAS
  84. Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 237-252, May.
  85. Bartram, Sohnke M. & Wang, Yaw-Huei, 2005. "Another look at the relationship between cross-market correlation and volatility," Finance Research Letters, Elsevier, vol. 2(2), pages 75-88, June.
  86. Christos Kollias & Stephanos Papadamou & Vangelis Arvanitis, 2013. "Symposium - Does Terrorism Affect the Stock-Bond Covariance? Evidence from European Countries," Southern Economic Journal, Southern Economic Association, vol. 79(4), pages 832-848, April.
  87. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  88. Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong, 2014. "A dark side of international capital market integration: Domestic investors' view," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 238-256.
  89. Francois Chesnay & Eric Jondeau, 2001. "Does Correlation Between Stock Returns Really Increase During Turbulent Periods?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, 02.
  90. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, 06.
  91. Aboura, Sofiane & Chevallier, Julien, 2014. "Volatility equicorrelation: A cross-market perspective," Economics Letters, Elsevier, vol. 122(2), pages 289-295.
  92. repec:hal:journl:halshs-00389789 is not listed on IDEAS
  93. Chrismin Tang & Mardi Dungey & Vance Martin & Brenda González-Hermosillo & Renee Fry, 2010. "Are Financial Crises Alike?," IMF Working Papers 10/14, International Monetary Fund.
    • MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  94. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," Papers 2013-10-14, Working Paper.
  95. David G. McMillan & Isabel Ruiz, 2009. "Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 1(1), pages 64-74.
  96. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," The School of Economics Discussion Paper Series 0305, Economics, The University of Manchester.
  97. Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
  98. Koulakiotis, Athanasios & Katrakilidis, Constantinos & Chionis, Dionysios, 2008. "Impact of futures on comovements for UK cross-listed equities," Research in International Business and Finance, Elsevier, vol. 22(2), pages 145-161, June.
  99. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, vol. 236(1), pages 282-291.
  100. Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics, Finance and Accounting Department Working Paper Series n222-12.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  101. Mohamed El Hedi Arouri & Mondher Bellalah & Duc Khuong Nguyen, 2010. "The comovements in international stock markets: new evidence from Latin American emerging countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1323-1328.
  102. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
  103. Kroencke, Tim Alexander & Schindler, Felix, 2011. "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers 11-012, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  104. Donald Lien & Chongfeng Wu & Li Yang & Chunyang Zhou, 2013. "Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(8), pages 696-723, 08.
  105. David McMillan & Isabel Ruiz & Alan Speight, 2010. "Correlations and spillovers among three euro rates: evidence using realised variance," The European Journal of Finance, Taylor & Francis Journals, vol. 16(8), pages 753-767.
  106. Denitsa Stefanova, 2012. "Stock Market Asymmetries: A Copula Diffusion," Tinbergen Institute Discussion Papers 12-125/IV/DSF45, Tinbergen Institute.
  107. John Cotter & Stuart Gabriel & Richard Roll, 2012. "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers 201217, Geary Institute, University College Dublin.
  108. BAUWENS, Luc & otranto, EDOARDO, 2013. "Modeling the dependence of conditional correlations on volatility," CORE Discussion Papers 2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  109. Anginer, Deniz & Demirguc-Kunt, Asli, 2014. "Bank capital and systemic stability," Policy Research Working Paper Series 6948, The World Bank.
  110. Horvath Roman & Poldauf Petr, 2012. "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal, De Gruyter, vol. 12(1), pages 1-21, March.
  111. Marc Joëts, 2013. "Energy price transmissions during extreme movements," Working Papers 2013-028, Department of Research, Ipag Business School.
  112. Daniel Kohler, 2007. "Carry Trades: Betting Against Safe Haven," University of St. Gallen Department of Economics working paper series 2007 2007-12, Department of Economics, University of St. Gallen.
  113. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
  114. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  115. Guglielmo Maria Caporale & Nicola Spagnolo, 2010. "Stock Market Integration between three CEECs, Russia and the UK," CESifo Working Paper Series 2978, CESifo Group Munich.
  116. Dajcman, Silvio & Festic, Mejra, 2012. "The Interdependence of the Stock Markets of Slovenia, The Czech Republic and Hungary with Some Developed European Stock Markets – The Effects of Joining the European Union and the Global Financial Cri," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 163-180, December.
  117. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2013. "Conditional Volatility Asymmetry Of Business Cycles: Evidence From Four Oecd Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 33-56, September.
  118. Najeeb, Syed Faiq & Bacha, Obiyathulla & Masih, Mansur, 2014. "Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis," MPRA Paper 56956, University Library of Munich, Germany.
  119. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, 09.
  120. Ilhan, Bilal & Masih, Mansur, 2014. "Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis," MPRA Paper 57688, University Library of Munich, Germany.
  121. Carsten Detken & Philipp Hartmann, 2000. "The Euro and International Capital Markets," EUI-RSCAS Working Papers 27, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
  122. Nagayasu, Jun, 2013. "Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model," SIRE Discussion Papers 2013-66, Scottish Institute for Research in Economics (SIRE).
  123. Edwards, Sebastian & Susmel, Raul, 2001. "Volatility dependence and contagion in emerging equity markets," Journal of Development Economics, Elsevier, vol. 66(2), pages 505-532, December.
  124. Onour, Ibrahim, 2009. "Financial Integration of North Africa Stock Markets," MPRA Paper 14938, University Library of Munich, Germany.
  125. Kim Liow & Wei Chen, 2013. "Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 370-390, August.
  126. Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
  127. Chiang, Thomas C. & Yu, Hai-Chin & Wu, Ming-Chya, 2009. "Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1555-1570.
  128. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
  129. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  130. Laruent Barras, 2005. "International Conditional Asset Allocation under Real Time Uncertrainty," FAME Research Paper Series rp153, International Center for Financial Asset Management and Engineering.
  131. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September.
  132. Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
  133. Manuela CROCI, 2003. "An empirical analysis of international equity market co-movements: implications for informational efficiency," Working Papers 197, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  134. Christodoulakis, George A. & Satchell, Stephen E., 2002. "Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns," European Journal of Operational Research, Elsevier, vol. 139(2), pages 351-370, June.
  135. D Brookfield & A Azizan, 2006. "Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997," Economic Issues Journal Articles, Economic Issues, vol. 11(2), pages 1-18, September.
  136. Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
  137. Hatemi-J, Abdulnasser & Roca, Eduardo, 2011. "How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test," Economic Modelling, Elsevier, vol. 28(6), pages 2560-2565.
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  197. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2013. "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer, vol. 6(3), pages 87-103, March.
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  202. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
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  222. Benhmad, François, 2013. "Bull or bear markets: A wavelet dynamic correlation perspective," Economic Modelling, Elsevier, vol. 32(C), pages 576-591.
  223. Li, Hong & Majerowska, Ewa, 2008. "Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 22(3), pages 247-266, September.
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