Nothing Special   »   [go: up one dir, main page]
create a website
Information processing and measures of integration: New York, London and Tokyo. (2006). Thorp, Susan ; Milunovich, George.
In: Research Paper Series.
RePEc:uts:rpaper:177.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 23

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Ang, A., Bekaert, G., 2002. International asset allocation with regime shifts. Review of Financial Studies 15, 1137-1187.

  2. Becker, K. G., Finnerty, J. E., Gupta, M., 1990. The international relation between the US and the Japanese stock markets. Journal of Finance 45, 1297-1306.
    Paper not yet in RePEc: Add citation now

  3. Becker, K. G., Finnerty, J. E., Tucker, A. L., 1992. The intraday interdependence structure between U.S. and Japanese equity markets. Journal of Financial Research. 15, 27-37.

  4. Black, F., 1976. Studies of stock price volatility changes. Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economical Statistics Section, 177-181.
    Paper not yet in RePEc: Add citation now
  5. Bollerslev, T., Wooldridge, J. M., 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews 11, 143-172.
    Paper not yet in RePEc: Add citation now
  6. Bookstaber, R., 1997. Global risk management: are we missing the point? Journal of Portfolio Management 23,102-107.
    Paper not yet in RePEc: Add citation now
  7. Burns, P., Engle, R. F., Mezrich, J., 1998. Correlations and volatilities of asynchronous data. Journal of Derivatives 5, 112.
    Paper not yet in RePEc: Add citation now

  8. Christie, A. A., 1982. The stochastic behavior of common stock variances-value, leverage and interest rate effects. Journal of Financial Economics 10, 407432.

  9. Diermeier, J., Solnik, B., 2001. Global pricing of equity. Financial Analysts Journal 57, 37-47.
    Paper not yet in RePEc: Add citation now

  10. Engle, R.F., Ito, T., Lin, W-L., 1990. Meteor shower or heat waves. Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica 55, 525542.

  11. Erb, C. B., Harvey, C. R., Viskanta, T. E., 1994. Forecasting international equity correlations. Financial Analysts Journal 50, 32-45.
    Paper not yet in RePEc: Add citation now
  12. Fama, E. F., 1970. Efficient capital markets. Journal of Finance 25, 383-417.
    Paper not yet in RePEc: Add citation now

  13. French, K.R., 1980. Stock returns and the weekend effect. Journal of Financial Econometrics 8, 55-69.

  14. Gerard, B., Hillion, P., de Roon, F., 2002. International portfolio diversification: industrial structure, country and currency effects revisited. EFA 2002 Berlin Meetings, Presented Paper.
    Paper not yet in RePEc: Add citation now

  15. Gibbons M., Hess, P., 1981. Day of the week effects and assets returns. Journal of Business 54, 579-596.

  16. Glosten, L. R., Jagannathan, R., Runkle, D. E., 1993. On the relation between the expected value and the volatility of the nominal excess return on stocks.

  17. Jensen, M., 1978. Some anomalous evidence regarding market efficiency. Journal of Financial Economics 6, 95-102.

  18. Journal of Finance 48, 1779-1801. Hamao, Y., Masulis, R.W., Ng, V., 1990. Correlations in price changes and volatility across international stock markets. Review of Financial Studies 3, 281-307.

  19. Journal of Finance 56, 649-676. Martens, M., Poon, S., 2001. Returns synchronization and daily correlation dynamics between international stock markets. Journal of Banking and Finance 25, 18051827.

  20. Kato, K., 1990. Weekly patterns in Japanese stock returns. Management Science 36, 1031-1043.

  21. Lin, W., 1989. The source of intra-daily volatility in the foreign exchange: A multivariate factor GARCH approach. Unpublished manuscript, Department of Economics, University of Wisconsin, Madison.
    Paper not yet in RePEc: Add citation now

  22. Longin, F., Solnik, B., 2001. Extreme correlation of international equity markets.

  23. Susmel, R., Engle, R.F. 1994. Hourly volatility spillovers between international equity markets. Journal of International Money and Finance 13, 3-25.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik.
    In: MPRA Paper.
    RePEc:pra:mprapa:106684.

    Full description at Econpapers || Download paper

  2. Measuring contagion between energy market and stock market during financial crisis: A copula approach. (2012). Huang, Dengshi ; Wei, YU ; Wen, Xiaoqian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1435-1446.

    Full description at Econpapers || Download paper

  3. Time-varying performance of international mutual funds. (2012). Zhang, Chengping ; Turtle, H. J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:334-348.

    Full description at Econpapers || Download paper

  4. Moments of multivariate regime switching with application to risk-return trade-off. (2012). Taamouti, Abderrahim.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:292-308.

    Full description at Econpapers || Download paper

  5. Contagion in International Stock Markets during the Sub Prime Mortgage Crisis. (2012). Lee, Hsien-Yi .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2012-01-6.

    Full description at Econpapers || Download paper

  6. Inflation hedging portfolios in different regimes. (2011). Briere, Marie ; Signori, Ombretta.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

    Full description at Econpapers || Download paper

  7. Components of bull and bear markets: bull corrections and bear rallies. (2010). Song, Yong ; McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-402.

    Full description at Econpapers || Download paper

  8. Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies. (2008). Hyde, Stuart ; Bredin, Don.
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:2:p:315-346.

    Full description at Econpapers || Download paper

  9. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-030.

    Full description at Econpapers || Download paper

  10. The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns. (2007). Guidolin, Massimo ; Na, Carrie Fangzhou.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-059.

    Full description at Econpapers || Download paper

  11. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model. (2007). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-029.

    Full description at Econpapers || Download paper

  12. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-075.

    Full description at Econpapers || Download paper

  13. Information processing and measures of integration: New York, London and Tokyo. (2006). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:177.

    Full description at Econpapers || Download paper

  14. Structural versus Temporary Drivers of Country and Industry Risk. (2006). Inghelbrecht, Koen ; Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/413.

    Full description at Econpapers || Download paper

  15. Economic and Financial Crises and the Predictability of U.S. Stock Returns. (2006). Pierdzioch, Christian ; Kempa, Bernd ; Hartmann, Daniel.
    In: MPRA Paper.
    RePEc:pra:mprapa:561.

    Full description at Econpapers || Download paper

  16. Implied correlation from VaR. (2006). cotter, john ; Longin, Francois.
    In: MPRA Paper.
    RePEc:pra:mprapa:3506.

    Full description at Econpapers || Download paper

  17. Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures. (2006). Zhang, Xibin ; Silvapulle, Param.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-9.

    Full description at Econpapers || Download paper

  18. Shift versus traditional contagion in Asian markets. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp176.

    Full description at Econpapers || Download paper

  19. International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp167.

    Full description at Econpapers || Download paper

  20. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

    Full description at Econpapers || Download paper

  21. Selecting Copulas for Risk Management. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5652.

    Full description at Econpapers || Download paper

  22. Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency. (2006). Peel, David ; Minford, A. Patrick ; Meenagh, David.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5614.

    Full description at Econpapers || Download paper

  23. Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models. (2006). Georgoutsos, Dimitris ; Bekiros, Stelios.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-17.

    Full description at Econpapers || Download paper

  24. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
    In: International Finance.
    RePEc:wpa:wuwpif:0511005.

    Full description at Econpapers || Download paper

  25. Portfolio Selection with Two-Stage Preferences. (2005). Taboga, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0506009.

    Full description at Econpapers || Download paper

  26. Asymmetric Risk and International Portfolio Choice. (2005). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:160.

    Full description at Econpapers || Download paper

  27. Dynamic bond portfolio choice in a model with Gaussian diffusion regimes. (2005). João Liborio, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:3:p:259-270.

    Full description at Econpapers || Download paper

  28. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:329.

    Full description at Econpapers || Download paper

  29. Learning Under Ambiguity. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:497.

    Full description at Econpapers || Download paper

  30. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

    Full description at Econpapers || Download paper

  31. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

    Full description at Econpapers || Download paper

  32. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-003.

    Full description at Econpapers || Download paper

  33. Density selection and combination under model ambiguity: an application to stock returns. (2005). D'Amico, Stefania.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-09.

    Full description at Econpapers || Download paper

  34. Measuring comovements by regression quantiles. (2005). Manganelli, Simone ; Gerard, Bruno ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005501.

    Full description at Econpapers || Download paper

  35. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4913.

    Full description at Econpapers || Download paper

  36. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0516.

    Full description at Econpapers || Download paper

  37. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:273.

    Full description at Econpapers || Download paper

  38. International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000. (2004). cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3538.

    Full description at Econpapers || Download paper

  39. The effect of the Euro on country versus industry portfolio diversification. (2004). Flavin, Thomas.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1411004.

    Full description at Econpapers || Download paper

  40. A Two-State Capital Asset Pricing Model with Unobservable States. (2004). Nilsson, Birger ; Hansson, Björn.
    In: Working Papers.
    RePEc:hhs:lunewp:2004_028.

    Full description at Econpapers || Download paper

  41. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles. (2004). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:77.

    Full description at Econpapers || Download paper

  42. Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias. (2004). Carvalho, Carlos ; Amonlirdviman, Kevin .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:61.

    Full description at Econpapers || Download paper

  43. That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds. (2004). Thorp, Susan.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:148.

    Full description at Econpapers || Download paper

  44. ARE VECTOR AUTOREGRESSIONS AND ACCURATE MODEL FOR DYNAMIC ASSET ALLOCATION?. (2004). Pearanda, Francisco .
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0419.

    Full description at Econpapers || Download paper

  45. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:03/189.

    Full description at Econpapers || Download paper

  46. How do Regimes Affect Asset Allocation?. (2003). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10080.

    Full description at Econpapers || Download paper

  47. Explaining movements in UK stock prices:. (2003). Sensier, Marianne ; Osborn, Denise ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:crt:wpaper:0302.

    Full description at Econpapers || Download paper

  48. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_875.

    Full description at Econpapers || Download paper

  49. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0306.

    Full description at Econpapers || Download paper

  50. International diversification strategies. (2002). Del Negro, Marco ; Brooks, Robin.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-23.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 20:52:24 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.