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Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms
16 references·1 citing·28 second hop
Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms (2014)Dynamic correlation analysis of spill-ove…Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Understanding the Evolution of World Business Cycles (2005)Understanding the Evolution o…Market Integration and Contagion (2005)Market Integration and Contag…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach (2016)Market, interest rate, and ex…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Multivariate GARCH models: a surveyConditional 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)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Econometric Analysis of Cross Section and Panel Data (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

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  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
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  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies

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877 cited
  • 2005Understanding the Evolution of World Business Cycles541 cited
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    • 2016Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach28 cited