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Does Correlation between Stock Returns Really Increase During Turbulent Period? · Study

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PreprintDoes Correlation between Stock Returns Really Increase During Turbulent Period?

françois chesnay2010

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Preprintgreen2010

Does Correlation between Stock Returns Really Increase During Turbulent Period?

françois chesnay · Éric Jondeau

144 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 1993Impulse Control Method and Exchange Rate 1992Optimal Consumption and Portfolio Policies with an Infinite Horizon: Existence and Convergence 2005European Integration and the Demand for Broad Money 1999Partial compatibility with network externalities and double purchase 2011Competition Among Financial Intermediaries and the Risk of Contagious Failures 1999La modélisation Var "structurel" : application à la politique monétaire en France 2011On the Use of Banks Balance Sheet Data in Loan Market Studies: A Note

Cited by

2010Leading Indicators of Currency Crises in Emerging Economies 2010Estimation of a Time Varying NAIRU for France 2002Optimal capacity in the banking sector and economic growth 2002Croissance économique et diffusion des TIC : le cas de la France sur longue période (1980-2000)2010Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 2010

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Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations144

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1730595

openalex_workW2013699514

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Short-Run Assessment of French Economic Activity Using Optim

2010Is There a Bank Lending Channel in France? Evidence from Bank Panel Data

2010Conditional Dependency of Financial Series: An Application of Copulas