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Citations for "A Capital Asset Pricing Model with Time-Varying Covariances"

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  1. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Books, National Bureau of Economic Research, Inc, number fran94-1.
  2. Riccardo LUCCHETTI, 1999. "Analytic Score for Multivariate GARCH Models," Working Papers 119, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  3. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2011. "Option-Implied Measures of Equity Risk," Review of Finance, European Finance Association, vol. 16(2), pages 385-428.
  4. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
  5. Hafner, Christian M. & Herwartz, Helmut, 1999. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," SFB 373 Discussion Papers 1999,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  6. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
  7. Menelaos Karanasos, . "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York.
  8. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009. "EMU and European government bond market integration," Working Paper Series 1079, European Central Bank.
  9. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus.
  10. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
  11. Abdul Hakim & Michael McAleer, 2010. "Modelling the interactions across international stock, bond and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
  12. 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.
  13. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
  14. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
  15. Horvath, Roman & Poldauf, Petr, 2011. "International stock market comovements: what happened during the financial crisis?," MPRA Paper 35317, University Library of Munich, Germany.
  16. Chang-Shuai Li, 2011. "Common persistence in conditional variance: A reconsideration," Papers 1112.1363, arXiv.org.
  17. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York.
  18. Gonzalez-Rivera, Gloria, 1996. "Time-varying risk The case of the American computer industry," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 333-342, February.
  19. Fernandes, Marcelo & de Sa Mota, Bernardo & Rocha, Guilherme, 2005. "A multivariate conditional autoregressive range model," Economics Letters, Elsevier, vol. 86(3), pages 435-440, March.
  20. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre.
  21. W. Frame & William Lastrapes, 1998. "Abnormal Returns in the Acquisition Market: The Case of Bank Holding Companies, 1990–1993," Journal of Financial Services Research, Springer, vol. 14(2), pages 145-163, October.
  22. Kuper, Gerard H. & Lestano, 2006. "Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia," CCSO Working Papers 200602, University of Groningen, CCSO Centre for Economic Research.
  23. Hafner, C.M. & Herwartz, H., 2003. "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers EI 2003-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  24. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  25. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  26. Benavides, Guillermo, 2009. "Price volatility forecasts for agricultural commodities:an application of volatility models,option implieds and composite approaches forfutures prices of corn and wheat," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(2), pages 40-59.
  27. Holt, Matthew T. & Aradhyula, Satheesh V., 1998. "Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 99-129, June.
  28. Viviana Fernandez, 2006. "The International CAPM and a Wavelet-Based Decomposition of Value at Risk," NBER Working Papers 12233, National Bureau of Economic Research, Inc.
  29. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 12/04, University of Canterbury, Department of Economics and Finance.
  30. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, vol. 98(1), pages 107-127, September.
  31. Murat Taşdemir & Abdullah Yalama, 2014. "Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(2), pages 190-202, March.
  32. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 3(1), pages 26-62, December.
  33. Michael S. Gibson & Brian H. Boyer, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers 600, Board of Governors of the Federal Reserve System (U.S.).
  34. Otranto, Edoardo, 2010. "Identifying financial time series with similar dynamic conditional correlation," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 1-15, January.
  35. WenShwo Fang & Stephen M. Miller, 2002. "Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis," Working papers 2002-30, University of Connecticut, Department of Economics.
  36. Chen, Bin & Hong, Yongmiao, 2014. "A unified approach to validating univariate and multivariate conditional distribution models in time series," Journal of Econometrics, Elsevier, vol. 178(P1), pages 22-44.
  37. Stephen Hall & George Hondroyiannis, 2006. "Measuring the correlation of shocks between the EU15 and the new member countries," Economic Change and Restructuring, Springer, vol. 39(1), pages 19-34, June.
  38. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
  39. Hassan, Syed Aun & Malik, Farooq, 2007. "Multivariate GARCH modeling of sector volatility transmission," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 470-480, July.
  40. Andrew Worthington & Helen Higgs, 2006. "Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas," Global Economic Review, Taylor & Francis Journals, vol. 35(3), pages 239-257.
  41. Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
  42. M. Berument & Nukhet Dogan, 2012. "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer, vol. 36(2), pages 282-302, April.
  43. David Laibson & Andrea Repetto & Jeremy Tobacman, 2003. "Wealth Accumulation, Credit Card Borrowing, and Consuption-Income Comovement," Documentos de Trabajo 166, Centro de Economía Aplicada, Universidad de Chile.
  44. Maloney, William F. & Azevedo, Rodrigo R., 1995. "Trade reform, uncertainty, and export promotion: Mexico 1982-88," Journal of Development Economics, Elsevier, vol. 48(1), pages 67-89, October.
  45. Yushi Yoshida, 2009. "Financial crisis, exchange rate and stock market integration," Discussion Papers 38, Kyushu Sangyo University, Faculty of Economics.
  46. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
  47. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  48. Moawia Alghalith & Ricardo Lalloob, 2012. "A General Empirical Model of Hedging," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 5(1), pages 1-19, December.
  49. Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012. "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2216-2232.
  50. 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.
  51. Schwert, G.W. & Seguin, P.J., 1988. "Heteroskedasticity In Stock Returns," Papers bc_88-02, Rochester, Business - General.
  52. Rabeh Khalfaoui & Mohammed Boutahar, 2012. "Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," AMSE Working Papers 1208, Aix-Marseille School of Economics, Marseille, France.
  53. Barik Kumar & M. Supriya, 2014. "Evidence on Hedging Effectiveness in Indian Derivatives Market," Asia-Pacific Financial Markets, Springer, vol. 21(2), pages 121-131, May.
  54. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  55. Hunter, Delroy M., 2006. "The evolution of stock market integration in the post-liberalization period - A look at Latin America," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 795-826, August.
  56. Darrat, Ali F. & Gilley, Otis W. & Li, Bin & Wu, Yanhui, 2011. "Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models," Journal of Business Research, Elsevier, vol. 64(2), pages 199-206, February.
  57. John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
  58. Fabio Fornari & Marcello Pericoli, 2000. "Stock Values and Fundamentals; Link or Irrationality?," Temi di discussione (Economic working papers) 378, Bank of Italy, Economic Research and International Relations Area.
  59. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
  60. Duchesne, Pierre, 2004. "On matricial measures of dependence in vector ARCH models with applications to diagnostic checking," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 149-160, June.
  61. Engel, Charles & Frankel, Jeffrey A. & Froot, Kenneth A. & Rodrigues, Anthony, 1990. "The Constrainted Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market," Department of Economics, Working Paper Series qt3xh3d7xn, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  62. Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2012. "An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks," Economics Letters, Elsevier, vol. 117(2), pages 452-454.
  63. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
  64. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  65. Abdul Hakim & Michael McAleer, 2009. "Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence," CARF F-Series CARF-F-179, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  66. Christian Calmès & Raymond Théoret, 2013. "The change in banks' product mix, diversification and performance: An application of multivariate GARCH to Canadian data," RePAd Working Paper Series UQO-DSA-wp012013, Département des sciences administratives, UQO.
  67. Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
  68. Pablo Mendieta Ossio & Sergio Cerezo Aguirre & Javier Cossío Medinacelli, 2009. "¿La inflación está de vuelta en Sudamérica?. Choques exógenos, expectativas y credibilidad de la política monetaria," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 11(1), pages 111-146, December.
  69. GIOT, Pierre & LAURENT, Sébastien, 2001. "Value-at-risk for long and short trading positions," CORE Discussion Papers 2001022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  70. Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J., 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," Econometric Institute Research Papers EI 2010-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  71. repec:dgr:uvatin:20070025 is not listed on IDEAS
  72. Olga Efimova & Apostolos Serletis, 2014. "Energy Markets Volatility Modelling using GARCH," Working Papers 2014-39, Department of Economics, University of Calgary, revised 24 Feb 2014.
  73. Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, EconWPA.
  74. Ferhan SALMAN & Tolga CASKURLU & Mustafa PINAR & Aslihan SALIH, . "Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach Using Constrained Nonlinear Programming," EcoMod2008 23800121, EcoMod.
  75. K.C. Chan & G. Andrew Karolyi & Rene M. Stulz, 1992. "Global Financial Markets and the Risk Premium on U.S. Equity," NBER Working Papers 4074, National Bureau of Economic Research, Inc.
  76. Tian Yong Fu & Mark J. Holmes & Daniel F.S. Choi, 2011. "Volatility transmission and asymmetric linkages between the stock and foreign exchange markets: A sectoral analysis," Studies in Economics and Finance, Emerald Group Publishing, vol. 28(1), pages 36-50, March.
  77. Nelson, Daniel B. & Foster, Dean P., 1995. "Filtering and forecasting with misspecified ARCH models II : Making the right forecast with the wrong model," Journal of Econometrics, Elsevier, vol. 67(2), pages 303-335, June.
  78. Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan, 2014. "A time-varying perspective on the CAPM and downside betas," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 440-454.
  79. Eli Bouri & Andre Eid & Imad Kachacha, 2014. "The Dynamic Behaviour and Determinants of Linkages among Middle Eastern and North African Stock Exchanges," Economic Issues Journal Articles, Economic Issues, vol. 19(1), pages 1-22, March.
  80. Chrétien, Stéphane & Ortega, Juan-Pablo, 2014. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 210-236.
  81. Feng, Yuanhua & Yu, Keming, 2006. "Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model," MPRA Paper 1597, University Library of Munich, Germany.
  82. Menelaos Karanasos, . "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York.
  83. D'Ecclesia, Rita L. & Zenios, Stavros A., 2005. "Estimation of asset demands by heterogeneous agents," European Journal of Operational Research, Elsevier, vol. 161(2), pages 386-398, March.
  84. Korhonen, Iikka & Peresetsky , Anatoly, 2013. "What determines stock market behavior in Russia and other emerging countries?," BOFIT Discussion Papers 4/2013, Bank of Finland, Institute for Economies in Transition.
  85. Christian Calmès & Raymond Théoret, 2013. "Is the Canadian banking system really “stronger” than the U.S. one?," RePAd Working Paper Series UQO-DSA-wp022013, Département des sciences administratives, UQO.
  86. Dias, Alexandra & Embrechts, Paul, 2010. "Modeling exchange rate dependence dynamics at different time horizons," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1687-1705, December.
  87. Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
  88. Gürtler, Marc & Rauh, Ronald, 2013. "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers IF43V1, Technische Universität Braunschweig, Institute of Finance.
  89. He, Hui & Yang, Jiawen, 2011. "Regime-switching analysis of ADR home market pass-through," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 204-214, January.
  90. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2014. "Macroeconomic risk and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 114(1), pages 1-19.
  91. Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, China Economic Research Center, Stockholm School of Economics.
  92. Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  94. Alaganar, V.T. & Bhar, Ramaprasad, 2007. "Empirical properties of currency risk in country index portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 159-174, March.
  95. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
  96. Óscar Reinaldo Becerra & Luis Fernando Melo Velandia., 2009. "Transmisión de Tasas de Interés bajo el Esquema de Metas de Inflación: Evidencia para Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 107-134.
  97. Wayne E. Ferson & Campbell R. Harvey, 1996. "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing," NBER Working Papers 5860, National Bureau of Economic Research, Inc.
  98. Chris Brooks & Xiafei Li & Joelle Miffre, 2009. "Time Varying Volatility and the Cross-Section of Equity Returns ," ICMA Centre Discussion Papers in Finance icma-dp2009-01, Henley Business School, Reading University.
  99. Thanaset Chevapatrakul & Kai-Hong Tee, 2014. "The Effects of News Events on Market Contagion: Evidence from the 2007-2009 Financial Crisis," Discussion Papers 2014/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  100. Kinnunen, Jyri, 2013. "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 107-121.
  101. Asai, M. & Caporin, M., 2009. "Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2009-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  102. Nijman, T.E. & Palm, F.C., 1991. "Recent Developments in Modeling Volatility in Financial Data," Papers 9168, Tilburg - Center for Economic Research.
  103. Tang, Gordon Y. N. & Shum, Wai Cheong, 2004. "The risk-return relations in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 179-195, April.
  104. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  105. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
  106. Soydemir, Gokce A., 2005. "Differences in the price of risk and the resulting response to shocks: an analysis of Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 285-313, October.
  107. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
  108. Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series /2000/398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  109. Thomas J. Flavin, 2006. "How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds," Economics, Finance and Accounting Department Working Paper Series n1630206, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  110. Oral Erdogan & Harald Schmidbauer, 2006. "Investors’ Selection Between Two Financial Markets: A Conditional Correlation Approach," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(30), pages 1-18.
  111. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010,07, Christian-Albrechts-University of Kiel, Department of Economics.
  112. Charles Engel & Anthony P. Rodrigues, 1987. "Tests of International CAPM with Time-Varying Covariances," NBER Working Papers 2303, National Bureau of Economic Research, Inc.
  113. Andrew J. Patton, 2009. "Are "Market Neutral" Hedge Funds Really Market Neutral?," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2295-2330, July.
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  115. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, 06.
  116. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Papers 2013-10-14, Working Paper.
  117. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, vol. 87(1), pages 101-131, January.
  118. de Goeij, P. C. & Marquering, W., 2009. "Stock and bond market interactions with level and asymmetry dynamics : An out-of-sample application," Other publications TiSEM fa1d33b9-7e68-4e15-b211-e, School of Economics and Management.
  119. Asai, M. & McAleer, M.J., 2010. "Dynamic Conditional Correlations for Asymmetric Processes," Econometric Institute Research Papers EI 2010-76, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  120. John J. Siam & S.M. Khalid Nainar, 2010. "The evaluation of the Canadian BAX contract in managing short-term interest rate exposure," Review of Accounting and Finance, Emerald Group Publishing, vol. 9(1), pages 88 - 110, February.
  121. Fountas, Stilianos & Karanasos,Menelaos, 2001. "Inflation and Output Growth Uncertainty and their Relationship with Inflation and Output Growth," Working Papers 0053, National University of Ireland Galway, Department of Economics, revised 2001.
  122. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887 Elsevier.
  123. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
  124. Su, EnDer, 2013. "Stock index hedge using trend and volatility regime switch model considering hedging cost," MPRA Paper 49190, University Library of Munich, Germany.
  125. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
  126. Xiangdong Long & Liangjun Su & Aman Ullah, 2009. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model Variables with Econometric Applications," Working Papers 200908, University of California at Riverside, Department of Economics, revised Jul 2009.
  127. Karali, Berna, 2012. "Do USDA Announcements Affect Comovements Across Commodity Futures Returns?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(1), April.
  128. David E. Giles & Yanan Li, 2013. "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," Econometrics Working Papers 1301, Department of Economics, University of Victoria.
  129. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
  130. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with Volatility Surprise," Working Papers 2014-469, Department of Research, Ipag Business School.
  131. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 17-46, January.
  132. Riccardo LUCCHETTI & Giulio PALOMBA, 2006. "Forecasting US bond yields at weekly frequency," Working Papers 261, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
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  134. Louzis, Dimitrios & Vouldis, Angelos, 2013. "A financial systemic stress index for Greece," Working Paper Series 1563, European Central Bank.
  135. Morelli, David, 2011. "Joint conditionality in testing the beta-return relationship: Evidence based on the UK stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 1-13, February.
  136. Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
  137. Wang, Kevin Q., 2002. "Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 133-169, March.
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