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Volatility equicorrelation: A cross-market perspective
16 references·5 citing·40 second hop
Volatility equicorrelation: A cross-market perspective (2013)Volatility equicorrelation: A cross-marke…Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Is gold the best hedge and a …Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Dynamic Equicorrelation (2012)Dynamic EquicorrelationAsset market linkages: Evidence from financial, commodity and real estate assets (2010)Asset market linkages: Eviden…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Stochastic Convenience Yield …Modeling seasonality in agricultural commodity futures (2002)Modeling seasonality in agric…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Dynamics of Commodity Spo…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…On the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Inflation synchronization among the G7and China: The important role of oil inflation (2021)Inflation synchronization amo…Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets (2021)Coherence, extreme risk spill…Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification (2020)Liner shipping industry and o…Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks? (2020)Do the crude oil futures of t…Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets (2016)Dynamic correlation and equic…Conditional 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)Multivariate GARCH models: a survey (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Forecasting volatility of crude oil markets (2008)The Econometrics of Financial Markets (2012)The Fundamentals of Commodity Futures Returns (2012)The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021)Rational Expectations and the Theory of Price Movements (1961)How Big Is the Random Walk in GNP? (1988)Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)Financialization of Commodity Markets (2013)The Behavior of Stock-Market Prices (1965)ARCH modeling in finance (1992)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)Value and Momentum Everywhere (2013)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The distribution of realized stock return volatility (2001)Asset pricing with liquidity risk (2005)
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References

  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2001The Dynamics of Commodity Spot and Futures Markets: A Primer591 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 2012Dynamic Equicorrelation456 cited
  • 2005Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates443 cited
  • 2013Is gold the best hedge and a safe haven under changing stock market volatility?396 cited
  • 2010Asset market linkages: Evidence from financial, commodity and real estate assets293 cited

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  • 2002Modeling seasonality in agricultural commodity futures248 cited
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    • 2021Inflation synchronization among the G7and China: The important role of oil inflation68 cited
    • 2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets58 cited
    • 2020Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification53 cited
    • 2020Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?53 cited
    • 2016Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets17 cited