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ArticleStochastic correlation across international stock markets

Clifford A. Ball2000

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Stochastic correlation across international stock markets

Clifford A. Ball · Walter N. Torous

84 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 1995Is the correlation in international equity returns constant: 1960–1990?1998Modeling Asymmetric Comovements of Asset Returns 1994Multivariate Stochastic Variance Models

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Year2000

Typearticle

Published2000-11-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations84

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0927-5398(00)00017-7

openalex_workW1966036727

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2005

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