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Exponential smoothing weighted correlations
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Exponential smoothing weighted correlations (2012)Exponential smoothing weighted correlatio…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Encyclopedia of Statistical Sciences (2004)Encyclopedia of Statistical S…Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Hierarchical structure in financial markets (1999)Hierarchical structure in fin…Volatility and cross correlation across major stock markets (1998)Volatility and cross correlat…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Francis Galton's Account of the Invention of Correlation (1989)Francis Galton's Account of t…Thirteen Ways to Look at the Correlation Coefficient (1988)Thirteen Ways to Look at the …Ordinal Measures of Association (1958)Ordinal Measures of Associati…A NEW MEASURE OF RANK CORRELATION (1938)A NEW MEASURE OF RANK CORRELA…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Estimating Historical Downside Risks of Global Financial Market Indices via Inflation Rate-Adjusted Dependence Graphs (2023)Estimating Historical Downsid…Synchronization Without Similarity. The Effects of Covid-19 Pandemic on GDP Growth and Inflation in the Eurozone (2021)Synchronization Without Simil…Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods (2015)Relation between Financial Ma…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)The Behavior of Stock-Market Prices (1965)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)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Statistical Theories of Mental Test Scores (1969)The Foundations of Factor Analysis. (1975)The Essential Guide to Effect Sizes (2010)Educational measurement. (2015)Textual Analysis in Accounting and Finance: A Survey (2016)Correlation Coefficients: Appropriate Use and Interpretation (2018)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Integration and Contagion (2005)Downside Risk (2006)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)An effect size primer: A guide for clinicians and researchers. (2009)Comparison of Values of Pearson's and Spearman's Correlation Coefficients on the Same Sets of Data (2011)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Random matrix approach to cross correlations in financial data (2002)A tool for filtering information in complex systems (2005)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 1938A NEW MEASURE OF RANK CORRELATION7,315 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1988Thirteen Ways to Look at the Correlation Coefficient4,068 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 1958Ordinal Measures of Association740 cited
  • 2004Encyclopedia of Statistical Sciences724 cited
  • 1989Francis Galton's Account of the Invention of Correlation528 cited
  • 1998Volatility and cross correlation across major stock markets

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  • 2015Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods87 cited
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  • 2021Synchronization Without Similarity. The Effects of Covid-19 Pandemic on GDP Growth and Inflation in the Eurozone19 cited