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The Copula-GARCH model of conditional dependencies: An international stock market application
16 references·16 citing·24 second hopsampled
The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of conditional dep…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Copulas (1999)An Introduction to CopulasModeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)Dynamic connectedness between…Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Time-Varying Systemic Risk: E…Uncertainty and Crude Oil Returns (2015)Uncertainty and Crude Oil Ret…Predictive Entropy Search for Efficient Global Optimization of Black-box Functions (2014)Predictive Entropy Search for…Copula Methods for Forecasting Multivariate Time Series (2013)Copula Methods for Forecastin…Do food and oil prices co-move? (2012)Do food and oil prices co-mov…A review of copula models for economic time series (2012)A review of copula models for…Modelling oil price and exchange rate co-movements (2011)Modelling oil price and excha…How do crude oil prices co-move? (2011)How do crude oil prices co-mo…Dependence structure and extreme comovements in international equity and bond markets (2011)Dependence structure and extr…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Financial crises and stock ma…Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling International Financ…Copula–Based Models for Financial Time Series (2009)Copula–Based Models for Finan…New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008)New Evidence of Asymmetric De…Chapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1992No news is good news1,929 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
  • 2002International Asset Allocation With Regime Shifts

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1,779 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • Cited by

    • 2012A review of copula models for economic time series587 cited
    • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
    • 2010Financial crises and stock market contagion in a multivariate time-varying asymmetric framework424 cited
    • 2009Copula–Based Models for Financial Time Series381 cited
    • 2011Modelling oil price and exchange rate co-movements378 cited
    • 2014Predictive Entropy Search for Efficient Global Optimization of Black-box Functions369 cited
    • 2006Chapter 15 Volatility and Correlation Forecasting330 cited
    • 2013Copula Methods for Forecasting Multivariate Time Series323 cited
    • 2009Modeling International Financial Returns with a Multivariate Regime-switching Copula293 cited
    • 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads272 cited
    • 2011Dependence structure and extreme comovements in international equity and bond markets267 cited
    • 2012Do food and oil prices co-move?263 cited
    • 2011How do crude oil prices co-move?259 cited
    • 2015Uncertainty and Crude Oil Returns256 cited
    • 2008New Evidence of Asymmetric Dependence Structures in International Equity Markets251 cited
    • 2021Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?249 cited