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Dependence structure among international stock markets: a GARCH–copula analysis
16 references·1 citing·37 second hop
Dependence structure among international stock markets: a GARCH–copula analysis (2013)Dependence structure among international …Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach (2012)Conditional dependence struct…U.S. and Latin American stock market linkages (2011)U.S. and Latin American stock…Quantitative Risk Management (2011)Quantitative Risk ManagementInternational diversification: A copula approach (2010)International diversification…Is international diversification really beneficial? (2009)Is international diversificat…A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems (2009)A goodness-of-fit test for mu…International portfolio diversification benefits: Cross-country evidence from a local perspective (2007)International portfolio diver…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Testing the Gaussian copula hypothesis for financial assets dependences (2003)Testing the Gaussian copula h…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Global Portfolio Optimization (1992)Global Portfolio OptimizationConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region (2017)Stock Market Integration Dyna…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)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 surveyOn 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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Generalized autoregressive conditional heteroskedasticity (1986)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)The Behavior of Stock-Market Prices (1965)A time-varying copula approach to oil and stock market dependence: The case of transition economies (2013)Uncertainty and Crude Oil Returns (2015)Forecasting oil price realized volatility using information channels from other asset classes (2017)An Introduction to Copulas (1999)Copula Methods in Finance (2004)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 2011Quantitative Risk Management985 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2012Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach290 cited
  • 2007International portfolio diversification benefits: Cross-country evidence from a local perspective265 cited
  • 2003Testing the Gaussian copula hypothesis for financial assets dependences198 cited
  • 2009Is international diversification really beneficial?148 cited
  • 2009A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems118 cited

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2011
U.S. and Latin American stock market linkages
113 cited
  • 2010International diversification: A copula approach102 cited
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    • 2017Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region24 cited