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Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore
14 references·0 citing·44 second hopsampled
Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore (2012)Asymmetric dynamics in stock market corre…Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market (2011)Asymmetric dynamics in correl…Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil (2010)Dynamic correlation analysis …Spillovers and correlations between US and major European stock markets: the role of the euro (2009)Spillovers and correlations b…Conditional Correlation and Volatility in CommodityFutures and Traditional Asset Markets (2009)Conditional Correlation and V…Asian FTAs: Trends and Challenges (2009)Asian FTAs: Trends and Challe…Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates (2008)Estimating portfolio value-at…Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia (2007)Dynamic conditional correlati…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers (2005)A DCC analysis of internation…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asian Economic Integration and Stock Market Comovement (2002)Asian Economic Integration an…Asian Economic Integration and Stock Market Comovement (2001)Asian Economic Integration an…A vector error correction model of the Singapore stock market (2000)A vector error correction mod…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Economic Forces and the Stock Market (1986)Time-Varying World Market Integration (1995)Spillover Effects Among the Greater China Stock Markets (2009)Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5 (2015)US Economic Policy Uncertainty and Co-Movements between Chinese and US Stock Markets (2016)The arbitrage theory of capital asset pricing (1976)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Macroeconomic variables and the Malaysian equity market (2003)Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)Is the correlation in international equity returns constant: 1960–1990? 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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,814 cited
  • 2000A vector error correction model of the Singapore stock market446 cited
  • 2009Asian FTAs: Trends and Challenges203 cited
  • 2009Conditional Correlation and Volatility in CommodityFutures and Traditional Asset Markets175 cited
  • 2002Asian Economic Integration and Stock Market Comovement143 cited
  • 2001Asian Economic Integration and Stock Market Comovement113 cited
  • 2010Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil109 cited
  • 2005A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers101 cited
  • 2009Spillovers and correlations between US and major European stock markets: the role of the euro96 cited
  • 2007Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia62 cited
  • 2008Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates26 cited
  • 2011Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market

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