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Another look at the relationship between cross-market correlation and volatility
16 references·9 citing·38 second hop
Another look at the relationship between cross-market correlation and volatility (2005)Another look at the relationship between …Copula Methods in Finance (2004)Copula Methods in FinanceA New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…An Introduction to Copulas (1999)An Introduction to CopulasVolatility and cross correlation across major stock markets (1998)Volatility and cross correlat…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Private capital flows to emerging markets after the Mexican crisis (1996)Private capital flows to emer…International Market Correlation and Volatility (1996)International Market Correlat…Capital Flows to Latin America: Is There Evidence of Contagion Effects? (1996)Capital Flows to Latin Americ…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS? 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this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2004Copula Methods in Finance2,013 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
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 1998Volatility and cross correlation across major stock markets525 cited
  • 1996Capital Flows to Latin America: Is There Evidence of Contagion Effects?476 cited
  • 1996International Market Correlation and Volatility468 cited
  • 1993DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS?328 cited

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1996
Private capital flows to emerging markets after the Mexican crisis
221 cited

Cited by

  • 2015Correlations between oil and stock markets: A wavelet-based approach83 cited
  • 2014Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis52 cited
  • 2017Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis49 cited
  • 2014Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets38 cited
  • 2005The Euro and European Financial Market Dependence33 cited
  • 2015What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets30 cited
  • 2010Contagion Effects of the U.S. Subprime Crisis on International Stock Markets29 cited
  • 2015European financial market dependence: An industry analysis24 cited
  • 2011Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation22 cited