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Long-Term Global Market Correlations
8 references·16 citing·46 second hop
Long-Term Global Market Correlations (2001)Long-Term Global Market CorrelationsInternational Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…The Great Reversals: The Politics of Financial Development in the 20th Century (2001)The Great Reversals: The Poli…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2022)Rethinking financial contagio…Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Modeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2014)Modelling Volatility Spillove…Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Is gold the best hedge and a …Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Is the Potential for Internat…Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012)Asset Fire Sales and Purchase…The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market (2011)The International Transmissio…Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Dynamic correlation analysis …Enjoying the Quiet Life under Deregulation? Evidence from Adjusted Lerner Indices for U.S. Banks (2010)Enjoying the Quiet Life under…Do Older Investors Make Better Investment Decisions? (2010)Do Older Investors Make Bette…Correlation Risk and Optimal Portfolio Choice (2010)Correlation Risk and Optimal …Financial development and economic growth: Convergence or divergence? (2008)Financial development and eco…How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)How Do Crises Spread? Evidenc…Comovement in international equity markets: A sectoral view (2005)Comovement in international e…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? 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(2019)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Does financial liberalization spur growth? (2005)The Logic of Collective Action (1965)Legal Determinants of External Finance (1997)Law and Finance (1998)The great reversals: the politics of financial development in the twentieth century (2003)What matters for financial development? Capital controls, institutions, and interactions (2005)The Economic Consequences of Legal Origins (2008)On the Impossibility of Informationally Efficient Markets (1980)Generalized autoregressive conditional heteroskedasticity (1986)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Downside Risk (2006)
this work references cited by second hop

References

  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 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
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2001The Great Reversals: The Politics of Financial Development in the 20th Century823 cited

Cited by

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  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited
  • 2010Do Older Investors Make Better Investment Decisions?565 cited
  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
  • 2006How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices429 cited
  • 2010

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Enjoying the Quiet Life under Deregulation? Evidence from Adjusted Lerner Indices for U.S. Banks
418 cited
  • 2013Is gold the best hedge and a safe haven under changing stock market volatility?396 cited
  • 2011Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets391 cited
  • 2012Asset Fire Sales and Purchases and the International Transmission of Funding Shocks379 cited
  • 2011The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market327 cited
  • 2008Financial development and economic growth: Convergence or divergence?302 cited
  • 2005Comovement in international equity markets: A sectoral view289 cited
  • 2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets268 cited
  • 2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic268 cited
  • 2010Correlation Risk and Optimal Portfolio Choice265 cited