SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Forecasting International Equity Correlations
6 references·16 citing·44 second hop
Forecasting International Equity Correlations (1994)Forecasting International Equity Correlat…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…The World Price of Covariance Risk (1991)The World Price of Covariance…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Studies of stock market volatility changes (1976)Studies of stock market volat…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Is gold the best hedge and a …Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Is the Potential for Internat…A Macroeconomic Model with a Financial Sector (2012)A Macroeconomic Model with a …Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Dynamic correlation analysis …Correlation of financial markets in times of crisis (2011)Correlation of financial mark…Copula–Based Models for Financial Time Series (2009)Copula–Based Models for Finan…Estimation of multivariate models for time series of possibly different lengths (2006)Estimation of multivariate mo…Chapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Dynamic stock market integrat…Systemic Risk and International Portfolio Choice (2004)Systemic Risk and Internation…The emperor has no clothes: Limits to risk modelling (2002)The emperor has no clothes: L…Increased Correlation in Bear Markets (2002)Increased Correlation in Bear…Financial market integration in Europe: on the effects of EMU on stock markets (2002)Financial market integration …The Distribution of Stock Return Volatility (2000)The Distribution of Stock Ret…The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …International Market Correlation and Volatility (1996)International Market Correlat…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)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)Consistent ranking of volatility models (2005)Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Brownian Motion and Stochastic Calculus (2007)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)A Theory of the Term Structure of Interest Rates (1985)Predictable Risk and Returns in Emerging Markets (1994)Market Integration and Contagion (2005)Volatiltiy and Links Between National Stock Markets (1990)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Procyclicality of the financial system and financial stability: Issues and policy options (2001)The Distribution of Realized Exchange Rate Volatility (2001)Coherent Measures of Risk (1999)Dynamic Conditional Correlation (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Copula Methods for Forecasting Multivariate Time Series (2013)Modeling Dependence in High Dimensions With Factor Copulas (2015)Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)The Economic Value of Volatility Timing Using 'Realized' Volatility (2001)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Asymmetric volatility transmission in international stock markets (1995)Stock market volatility and the business cycle (1996)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1976Studies of stock market volatility changes885 cited

Cited by

  • 2000The Distribution of Stock Return Volatility497 cited
  • 1996International Market Correlation and Volatility468 cited
  • 1999The Distribution of Exchange Rate Volatility462 cited
  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
  • 2006Estimation of multivariate models for time series of possibly different lengths421 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 2013Is gold the best hedge and a safe haven under changing stock market volatility?396 cited
  • 2011Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets391 cited
  • 2009Copula–Based Models for Financial Time Series

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

381 cited
  • 2002Financial market integration in Europe: on the effects of EMU on stock markets379 cited
  • 2005Dynamic stock market integration driven by the European Monetary Union: An empirical analysis346 cited
  • 2006Chapter 15 Volatility and Correlation Forecasting330 cited
  • 2002The emperor has no clothes: Limits to risk modelling323 cited
  • 2012A Macroeconomic Model with a Financial Sector301 cited
  • 2011Correlation of financial markets in times of crisis285 cited
  • 2002Increased Correlation in Bear Markets283 cited