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A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers
11 references·15 citing·35 second hop
A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers (2005)A DCC analysis of international stock mar…Increased Correlation in Bear Markets (2002)Increased Correlation in Bear…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…International Market Correlation and Volatility (1996)International Market Correlat…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Forecasting International Equity Correlations (1994)Forecasting International Equ…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES (1973)INTERNATIONAL PORTFOLIO DIVER…THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS (1971)THE INTERDEPENDENCE OF INTERN…Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework (2020)Spatial linkage of volatility…Spatial spillover effects and risk contagion around G20 stock markets based on volatility network (2019)Spatial spillover effects and…‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects (2019)‘Indian Stock Market Volatili…Extreme co-movements and dependencies among major international exchange rates: A copula approach (2018)Extreme co-movements and depe…Volatility spillovers among global stock markets: measuring total and directional effects (2017)Volatility spillovers among g…Spreading crisis: Evidence of financial stress spillovers in the Asian financial markets (2016)Spreading crisis: Evidence of…Return and volatility interdependences in up and down markets across developed and emerging countries (2015)Return and volatility interde…Does Heterogeneity in Investment Horizons Affect Portfolio Diversification? Some Insights Using M-GARCH-DCC and Wavelet Correlation Analysis (2015)Does Heterogeneity in Investm…The Eurozone crisis and its contagion effects on the European stock markets (2014)The Eurozone crisis and its c…Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach (2014)Co-movements among major Euro…Crude oil hedging strategy: new evidence from the data of the financial crisis (2013)Crude oil hedging strategy: n…An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis (2012)An asymmetric dynamic conditi…Benefits of diversifying investments into emerging markets with time-varying correlations: An Australian perspective (2008)Benefits of diversifying inve…Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia (2007)Dynamic conditional correlati…Assessing Financial Market Integration in Asia - Equity Markets (2007)Assessing Financial Market In…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Extreme Correlation of International Equity Markets (2001)Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes (2004)Selecting copulas for risk management (2007)New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)Does industrial structure explain the benefits of international diversification? (1994)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)The Behavior of Stock-Market Prices (1965)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)The Distribution of Exchange Rate Volatility (1999)The Distribution of Stock Return Volatility (2000)Market and Industry Factors in Stock Price Behavior (1966)ON THE ASSESSMENT OF RISK (1971)Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets (1989)TESTS OF RANDOM WALK AND MARKET EFFICIENCY FOR LATIN AMERICAN EMERGING EQUITY MARKETS (1995)A Survey of Literature on Controls over International Capital Transactions (1996)Volatiltiy and Links Between National Stock Markets (1990)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Procyclicality of the financial system and financial stability: Issues and policy options (2001)The Distribution of Realized Exchange Rate Volatility (2001)
this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 1996International Market Correlation and Volatility468 cited
  • 1973INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES285 cited
  • 2002Increased Correlation in Bear Markets283 cited
  • 1971THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS228 cited

Cited by

  • 2008Benefits of diversifying investments into emerging markets with time-varying correlations: An Australian perspective96 cited
  • 2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework86 cited
  • 2014Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach76 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015Does Heterogeneity in Investment Horizons Affect Portfolio Diversification? Some Insights Using M-GARCH-DCC and Wavelet Correlation Analysis74 cited
  • 2007Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia62 cited
  • 2007Assessing Financial Market Integration in Asia - Equity Markets60 cited
  • 2019Spatial spillover effects and risk contagion around G20 stock markets based on volatility network59 cited
  • 2017Volatility spillovers among global stock markets: measuring total and directional effects47 cited
  • 2018Extreme co-movements and dependencies among major international exchange rates: A copula approach43 cited
  • 2016Spreading crisis: Evidence of financial stress spillovers in the Asian financial markets38 cited
  • 2015Return and volatility interdependences in up and down markets across developed and emerging countries36 cited
  • 2014The Eurozone crisis and its contagion effects on the European stock markets36 cited
  • 2019‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects32 cited
  • 2012An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis31 cited
  • 2013Crude oil hedging strategy: new evidence from the data of the financial crisis27 cited