SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Another look at the relationship between cross-market correlation and volatility · Study

ArticleShelves

ArticleAnother look at the relationship between cross-market correlation and volatility

Söhnke M. Bartram2005

OA

Articlegreen2005

Another look at the relationship between cross-market correlation and volatility

Söhnke M. Bartram · Yaw‐Huei Wang

53 citations·0/0 files stored·Finance research letters

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 53 citations exist upstream.

References

1999An Introduction to Copulas 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2004Copula Methods in Finance 1990Correlations in Price Changes and Volatility across International Stock Markets 1995Is the correlation in international equity returns constant: 1960–1990?1990Transmission of Volatility between Stock Markets 2002Asymmetric correlations of equity portfolios 1989Transmission of Volatility Between Stock Markets

Cited by

2015Correlations between oil and stock markets: A wavelet-based approach 2014Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis 2017Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis 2014Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets 2005The Euro and European Financial Market Dependence

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005Coexceedances in financial markets—a quantile regression analysis of contagionarticle · 12 shared references 2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative marketarticle · 10 shared references 2012Measuring the subprime crisis contagion: Evidence of change point analysis of copula functionsarticle · 10 shared references 2014Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysisarticle · 10 shared references 2013Volatility Threshold Dynamic Conditional Correlations: An International Analysisarticle · 10 shared references 2010TESTING FOR ASSET MARKET LINKAGES: A NEW APPROACH BASED ON TIME-VARYING COPULASarticle · 10 shared references

Details

Year2005

Typearticle

Published2005-02-25

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations53

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.frl.2005.01.002

openalex_workW2063770577

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2015

What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets

2010Contagion Effects of the U.S. Subprime Crisis on International Stock Markets

2015European financial market dependence: An industry analysis