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Measuring Dependence Between the USA and the Asian Economies: A Time-varying Copula Approach
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,020 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,814 cited
  • 2005Market Integration and Contagion1,095 cited
  • 2000Contagion: Understanding How It Spreads933 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets913 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications633 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2010Financial crises and stock market contagion in a multivariate time-varying asymmetric framework424 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification402 cited
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Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
368 cited
  • 2000Why Stocks May Disappoint354 cited
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