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Structural Conditional Correlation

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
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2013Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data25 cited
2013Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns

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25 cited

2012Common influences, spillover and integration in Chinese stock markets22 cited

2010Volatility and causality in Asia Pacific financial markets22 cited

2011Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation22 cited