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Measuring Comovements by Regression Quantiles
16 references·16 citing·43 second hopsampled
Measuring Comovements by Regression Quantiles (2014)Measuring Comovements by Regression Quant…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Empirical modelling of contagion: a review of methodologies (2005)Empirical modelling of contag…On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)On the Out-of-Sample Importan…On more robust estimation of skewness and kurtosis (2004)On more robust estimation of …CAViaR (2004)CAViaRA Primer on Financial Contagion (2003)A Primer on Financial Contagi…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International Asset Pricing a…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Quantifying systemic risk in US industries using neural network quantile regression (2022)Quantifying systemic risk in …Stocks and bonds: Flight-to-safety for ever? (2019)Stocks and bonds: Flight-to-s…A new approach to measure systemic risk: A bivariate copula model for dependent censored data (2019)A new approach to measure sys…Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity (2018)Quantile Co-Movement in Finan…Macro-economic determinants of European stock and government bond correlations: A tale of two regions (2016)Macro-economic determinants o…Measuring Sovereign Contagion in Europe (2015)Measuring Sovereign Contagion…Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR (2013)Measuring Contagion Potential…The Impact of the Euro on Equity Markets (2010)The Impact of the Euro on Equ…TESTING FOR ASSET MARKET LINKAGES: A NEW APPROACH BASED ON TIME-VARYING COPULAS (2010)TESTING FOR ASSET MARKET LINK…Gold and the U.S. Dollar: Tales from the Turmoil (2010)Gold and the U.S. Dollar: Tal…The transmission of emerging market shocks to global equity markets (2008)The transmission of emerging …The Dark Side of Global Integration: Increasing Tail Dependence (2008)The Dark Side of Global Integ…Contagion effects of the US Subprime Crisis on Developed Countries (2008)Contagion effects of the US S…The Transmission of Emerging Market Shocks to Global Equity Markets (2007)The Transmission of Emerging …The Impact of the Euro on Financial Markets (2006)The Impact of the Euro on Fin…Financial Integration of New EU Member States (2006)Financial Integration of New …Bank Runs, Deposit Insurance, and Liquidity (1983)Rules, discretion and reputation in a model of monetary policy (1983)Contagion and Trade: Why Are Currency Crises Regional? 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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2004CAViaR2,210 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited
  • 2003A Primer on Financial Contagion696 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2004

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On more robust estimation of skewness and kurtosis
523 cited

Cited by

  • 2018Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity72 cited
  • 2010Gold and the U.S. Dollar: Tales from the Turmoil67 cited
  • 2006Financial Integration of New EU Member States60 cited
  • 2015Measuring Sovereign Contagion in Europe54 cited
  • 2008Contagion effects of the US Subprime Crisis on Developed Countries51 cited
  • 2016Macro-economic determinants of European stock and government bond correlations: A tale of two regions47 cited
  • 2008The Dark Side of Global Integration: Increasing Tail Dependence47 cited
  • 2006The Impact of the Euro on Financial Markets46 cited
  • 2008The transmission of emerging market shocks to global equity markets45 cited
  • 2007The Transmission of Emerging Market Shocks to Global Equity Markets44 cited
  • 2010The Impact of the Euro on Equity Markets41 cited
  • 2013Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR40 cited
  • 2019A new approach to measure systemic risk: A bivariate copula model for dependent censored data37 cited
  • 2022Quantifying systemic risk in US industries using neural network quantile regression36 cited
  • 2019Stocks and bonds: Flight-to-safety for ever?33 cited
  • 2010TESTING FOR ASSET MARKET LINKAGES: A NEW APPROACH BASED ON TIME-VARYING COPULAS32 cited