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Risk sharing and counter-cyclical variation in market correlations
16 references·2 citing·39 second hop
Risk sharing and counter-cyclical variation in market correlations (2008)Risk sharing and counter-cyclical variati…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)Effects on Financial Globaliz…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Foundations of International Macroeconomics (1997)Foundations of International …The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…International Real Business Cycles (1992)International Real Business C…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019) (2021)Financial Crises, Macroeconom…Correlations (2007)CorrelationsDividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)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)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The determinants of cross-border equity flows (2004)Financial Globalization: A Reappraisal (2006)Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation (2008)
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References

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1997Foundations of International Macroeconomics2,980 cited
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  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited

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  • 2004Effects on Financial Globalization on Developing Countries: Some Empirical Evidence1,239 cited
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    • 2007Correlations23 cited
    • 2021Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)21 cited