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Correlation dynamics in European equity markets
16 references·13 citing·42 second hopsampled
Correlation dynamics in European equity markets (2005)Correlation dynamics in European equity m…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Financial market integration in Europe: on the effects of EMU on stock markets (2002)Financial market integration …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International Asset Pricing a…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Forecasting International Equity Correlations (1994)Forecasting International Equ…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…On estimating the expected return on the market (1980)On estimating the expected re…Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Testing for Serial Correlatio…Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity (2017)Sentiment, order imbalance, a…Future directions in international financial integration research - A crowdsourced perspective (2017)Future directions in internat…Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market (2014)Does Commercial Microfinance …Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets (2013)Stock market correlations dur…Sector Indices Correlation Analysis in China's Stock Market (2013)Sector Indices Correlation An…Measuring time-varying financial market integration: An unobserved components approach (2012)Measuring time-varying financ…Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis? (2011)Financial Crisis and the Como…Correlation dynamics in equity markets: evidence from India (2010)Correlation dynamics in equit…Time‐varying characteristics of cross‐market linkages with empirical application to Gulf stock markets (2009)Time‐varying characteristics …Time-Varying Comovements in Developed and European Stock Markets: Evidence from Intraday Data (2007)Time-Varying Comovements in D…Have European Stocks become More Volatile? 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The Role of Liquidity and Organization (2004)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices2,004 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1970Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables1,184 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited

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  • 1994Forecasting International Equity Correlations521 cited
  • 2002Financial market integration in Europe: on the effects of EMU on stock markets379 cited
  • Cited by

    • 2014Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market63 cited
    • 2013Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets61 cited
    • 2007Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area61 cited
    • 2017Future directions in international financial integration research - A crowdsourced perspective56 cited
    • 2009Time‐varying characteristics of cross‐market linkages with empirical application to Gulf stock markets50 cited
    • 2012Measuring time-varying financial market integration: An unobserved components approach46 cited
    • 2006Valuing volatility spillovers42 cited
    • 2011Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?40 cited
    • 2017Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity31 cited
    • 2005Bond Market and Stock Market Integration in Europe29 cited
    • 2010Correlation dynamics in equity markets: evidence from India27 cited
    • 2013Sector Indices Correlation Analysis in China's Stock Market25 cited
    • 2007Time-Varying Comovements in Developed and European Stock Markets: Evidence from Intraday Data21 cited