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Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 1978Manias, Panics and Crashes1,800 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 2012Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates664 cited
  • 2015Measuring Economic Policy Uncertainty502 cited
  • 2010Safe Haven Currencies488 cited
  • 2013Dynamic Conditional Correlation: On Properties and Estimation423 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
  • 2013Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach359 cited

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  • 2009A component model for dynamic correlations300 cited
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