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Is the Potential for International Diversification Disappearing?
16 references·8 citing·33 second hop
Is the Potential for International Diversification Disappearing? (2010)Is the Potential for International Divers…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Market Integration and Contagion (2005)Market Integration and Contag…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Emerging Equity Market Comovements: Trends and Macroeconomic Fundamentals (2014)Emerging Equity Market Comove…Country and industry convergence of equity markets: International evidence from club convergence and clustering (2014)Country and industry converge…Smart Beta 2.0 (2013)Smart Beta 2.0International income risk-sharing and the global financial crisis of 2008–2009 (2013)International income risk-sha…Financial Risk Measurement for Financial Risk Management (2012)Financial Risk Measurement fo…Choose Your Betas: Benchmarking AlternativeEquity Index Strategies (2012)Choose Your Betas: Benchmarki…The Joint Dynamics of Equity Market Factors (2011)The Joint Dynamics of Equity …Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals (2011)Conditional Skewness of Stock…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)How Sovereign Is Sovereign Credit Risk? (2011)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)On the Impossibility of Informationally Efficient Markets (1980)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Does financial liberalization spur growth? (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)A long memory property of stock market returns and a new model (1993)
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References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

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1,108 cited
  • 2005Market Integration and Contagion1,061 cited
  • Cited by

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    • 2012Financial Risk Measurement for Financial Risk Management43 cited
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    • 2014Country and industry convergence of equity markets: International evidence from club convergence and clustering41 cited
    • 2011The Joint Dynamics of Equity Market Factors36 cited
    • 2013International income risk-sharing and the global financial crisis of 2008–200934 cited
    • 2013Smart Beta 2.033 cited