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A range-based volatility approach to measuring volatility contagion in securitized real estate markets
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References

  • 1999An Introduction to Copulas7,777 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,299 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
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  • 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications633 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 2005Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model

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366 cited
  • 2003Risk Management: Value at Risk and Beyond340 cited
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