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BRICS Capital Markets Co-Movement Analysis and Forecasting
16 references·1 citing·37 second hop
BRICS Capital Markets Co-Movement Analysis and Forecasting (2022)BRICS Capital Markets Co-Movement Analysi…Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Global financial crisis and e…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Stock market prediction of S&P 500 via combination of improved BCO approach and BP neural network (2008)Stock market prediction of S&…Time-varying market integration and expected returns in emerging markets (2005)Time-varying market integrati…Portfolio selection using neural networks (2005)Portfolio selection using neu…The rise in comovement across national stock markets: market integration or IT bubble? (2004)The rise in comovement across…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…International Stock Market Efficiency and Integration: A Study of Eighteen Nations (1997)International Stock Market Ef…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…The International Crash of October 1987: Causality Tests (1992)The International Crash of Oc…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Quantile connectedness amongst BRICS equity markets during the COVID-19 pandemic and Russia–Ukraine war (2023)Quantile connectedness amongs…Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Why Not Diversify Internationally Rather Than Domestically? (1974)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)Foreign Speculators and Emerging Equity Markets (2000)Extreme Correlation of International Equity Markets (2001)‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)Modeling financial contagion using mutually exciting jump processes (2015)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)Is the correlation in international equity returns constant: 1960–1990? (1995)Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Multifractal analysis of financial markets: a review (2019)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The econometrics of financial markets (1996)Country spreads and emerging countries: Who drives whom? (2005)Stock prices and exchange rate dynamics (2005)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)A vector error correction model of the Singapore stock market (2000)The effects of terrorism on global capital markets (2004)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Integration of genetic fuzzy systems and artificial neural networks for stock price forecasting (2010)Stock index forecasting based on a hybrid model (2011)Carbon price forecasting with a novel hybrid ARIMA and least squares support vector machines methodology (2012)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 2001Long-Term Global Market Correlations783 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • 2008Stock market prediction of S&P 500 via combination of improved BCO approach and BP neural network423 cited
  • 2013Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach359 cited
  • 2005Portfolio selection using neural networks310 cited
  • 1992The International Crash of October 1987: Causality Tests275 cited
  • 1997International Stock Market Efficiency and Integration: A Study of Eighteen Nations268 cited
  • 2004The rise in comovement across national stock markets: market integration or IT bubble?

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263 cited
  • 2005Time-varying market integration and expected returns in emerging markets247 cited
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    • 2023Quantile connectedness amongst BRICS equity markets during the COVID-19 pandemic and Russia–Ukraine war21 cited