Nothing Special   »   [go: up one dir, main page]
create a website
Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2008). Caporin, Massimiliano ; Kasch, Maria .
In: Marco Fanno Working Papers.
RePEc:pad:wpaper:0065.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 32

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

  1. Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:870.

    Full description at Econpapers || Download paper

  2. Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano.
    In: Econometrics.
    RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620.

    Full description at Econpapers || Download paper

  3. A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion. (2013). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Chan, Joshua ; Joshua C. C. Chan, .
    In: CAMA Working Papers.
    RePEc:een:camaaa:2013-15.

    Full description at Econpapers || Download paper

  4. Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/21.

    Full description at Econpapers || Download paper

  5. Ten Things You Should Know About DCC. (2013). McAleer, Michael ; Caporin, Massimiliano.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/16.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ang, A., and J. Chen, 2002, Asymmetric correlations of equity portfolios, Journal of Financial Economics 63, 443-494.

  2. Bae, K.H., A. Karolyi and R. Stulz, 2003, A New Approach to Measuring Financial Market Contagion, Review of Financial Studies 16, 7 17-764.

  3. Bauwens L., S. Laurent and J.V.K. Rombouts, 2003, Multivariate GARCH models: A survey, CORE Discussion Paper 2003/31.

  4. Bekaert, G. C.R. Harvey and A. Ng, 2005, Market Integration and Contagion, Journal Of Business 78, 39-69.

  5. Bekaert, G., and G. Wu, 2000, Asymmetric volatility and risk in equity markets, Review of Financial Studies 13, 1-42.

  6. Billio M., M. Caporin and M. Gobbo, 2006, Flexible Dynamic Conditional Correlation multivariate GARCH for asset allocation, Applied Financial Economics Letters, 2, 123-130.
    Paper not yet in RePEc: Add citation now

  7. Boyer, Brian H., Michael S. Gibson, and Mico Loretan. Pitfalls in tests for changes in correlations. Federal Reserve Board, IFS Discussion Paper No. 597R, March 1999.

  8. Calvo, S. and C. M. Reinhart, 1996, Capital flows to Latin America: Is there evidence of contagion effects? in G. Calvo, M. Goldstein y E. Hochreiter (editors) Private Capital Flows to Emerging Markets After the Mexican Crisis; Washington: Institute for International Economics.

  9. Cappiello L., R. F. Engle, and K. Sheppard, 2006, Asymmetric dynamics in the correlations of global equity and bond markets, Journal of Financial Econometrics 4, 53 7-572.

  10. Das, S. R., and R. Uppal, 2004, Systematic risk and international portfolio choice, Journal of Finance 59, 2809-2834.

  11. Edwards, S., and R. Susmel, 2001, Volatility dependence and contagion in emerging equity markets, Working Paper 8506, NBER.

  12. Engle R.F. and K.F. Kroner, 1995, Multivariate simultaneous generalized ARCH, Econometric Theory, ii, 122-150.

  13. Engle, R. F., 2002, Dynamic Conditional Correlation - A simple class of multivariate GARCH models, Journal of Business and Economic Studies 20, 339-350.
    Paper not yet in RePEc: Add citation now

  14. Engle, R. F., and V. Ng, 1993, Measuring and testing the impact of news on volatility, Journal of Finance 48, 1749-78.

  15. Engle, R.F., 1990, Discussion: Stock Market Volatility and the Crash of 87, Review of Financial Studies, 3, 103-106.

  16. Erb, C. B., C. E. Harvey, and T. E. Viskanta, 1994, Forecasting international correlations, Financial Analyst Journal 50, 322-45.
    Paper not yet in RePEc: Add citation now

  17. Forbes, K. and R. Rigobon, 2002, No contagion, only interdependence: Measuring stock market comovements, Journal of Finance, vol. 57(5), 2223-2261.

  18. Franses, P.H and C. Hafner, 2003, A Generalized Dynamic Conditional Correlation model for many asset returns, Working Paper, Erasmus University Rotterdam.

  19. Glosten L., R. Jagannathan and D. Runkle, 1993, Relationship between the expected value and the volatility of the nominal excess returns on stocks, Journal of Finance, 48, 1779-1801.
    Paper not yet in RePEc: Add citation now

  20. Karolyi, G. A., and R. M. Stulz, 1996, Why do markets move together? An investigation of U.S.- Japan stock return comovement, Journal of Finance 51, 951-986.

  21. King, M. and S. Wadhwani, 1990, Transmission of volatility between stock markets, Review of Financial Studies 3, 5-33.

  22. Kroner, K. F., and V. K. Ng, 1998, Modeling asymmetric comovements of asset returns, Review of Financial Studies ii, 8 17-844.

  23. Lin, W. L., R. F. Engle, and T. Ito, 1994, Do bulls and bears move across borders? International transmission of stock returns and volatility, The Review of Financial Studies 7, 507-538.

  24. Longin, F., and B. Solnik, 2001, Extreme Correlations of International Equity Markets, Journal of Finance 56, 649-676.

  25. Nelson D.B., 1991, Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-370.

  26. Pelletier, Denis, 2006, Regime switching for dynamic correlations, Journal of Econometrics 127, 445-473.

  27. Rabemananjara R. and J.M. Zakoian, 1993, Threshold ARCH models and asymmetries in volatility, Journal of Applied Econometrics, 8, 3 1-49.

  28. Solnik B., C. Boucrelle, and Y.L. Fur, 1996, International market correlations and volatility, Financial Analyst Journal, 17-34.
    Paper not yet in RePEc: Add citation now
  29. Stambaugh, R., 1995, Unpublished discussion of Karolyi and Stulz (1996), National Bureau of Economic Research Conference on Risk Management, May 1995.
    Paper not yet in RePEc: Add citation now
  30. Tong, H., 1983, Threshold models in non-linear time series analysis, Springer-Verlag.
    Paper not yet in RePEc: Add citation now

  31. Tse, Y., and A. Tsui, 2002, A multivariate GARCH model with time-varying correlations, Journal of Business and Economic Statistics 20, 35 1-362.

  32. Zakoian, M., 1994, Threshold Heteroskedastic Models, Journal of Economic Dynamics and Control 18, 93 1-955.

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. Dynamic copula models and high frequency data. (2015). Patton, Andrew ; De Lira Salvatierra, Irving, .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:30:y:2015:i:c:p:120-135.

    Full description at Econpapers || Download paper

  3. Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover. (2015). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Barunik, Jozef.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5305.

    Full description at Econpapers || Download paper

  4. On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach. (2014). Boubaker, Heni ; Sghaier, Nadia .
    In: Working Papers.
    RePEc:ipg:wpaper:2014-094.

    Full description at Econpapers || Download paper

  5. Conditional Betas and Investor Uncertainty. (2013). Chague, Fernando.
    In: Working Papers, Department of Economics.
    RePEc:spa:wpaper:2013wpecon4.

    Full description at Econpapers || Download paper

  6. A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises. (2013). Hsueh, Shun-Jen ; Hu, Yu-Hau .
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:134-147.

    Full description at Econpapers || Download paper

  7. Financial Crisis and the Co-movements of Housing Sub-markets: Do relationships change after a crisis?. (2013). TANG, Edward Chi Ho ; Leung, Charles ; Charles Ka Yui Leung, ; Patrick Wai Yin Cheung, ; Edward Chi Ho Tang, .
    In: International Real Estate Review.
    RePEc:ire:issued:v:16:n:01:2013:p:68-118.

    Full description at Econpapers || Download paper

  8. The conditional relation between dispersion and return. (2013). Demirer, Riza ; Jategaonkar, Shrikant P..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:22:y:2013:i:3:p:125-134.

    Full description at Econpapers || Download paper

  9. The wisdom of crowds: Mutual fund investors’ aggregate asset allocation decisions. (2013). Kaul, Aditya ; Chalmers, John ; Phillips, Blake.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3318-3333.

    Full description at Econpapers || Download paper

  10. Correlations between oil and stock markets : a wavelet-based approach. (2013). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws130504.

    Full description at Econpapers || Download paper

  11. Systemic Risk Analysis using Forward-Looking Distance-to-Default Series. (2012). Saldias, Martin.
    In: Working Papers.
    RePEc:ptu:wpaper:w201216.

    Full description at Econpapers || Download paper

  12. Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation. (2012). Vahid, Farshid ; Choi, Pilsun ; Choe, Kwang-il ; Nam, Kiseok.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:2:p:271-291.

    Full description at Econpapers || Download paper

  13. International diversification: An extreme value approach. (2012). Lu, Ching-Chih ; de la Pea, Victor ; Chollete, Lorn .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:871-885.

    Full description at Econpapers || Download paper

  14. When does investor sentiment predict stock returns?. (2012). Hung, Chi-Hsiou ; Chung, San-Lin ; Yeh, Chung-Ying .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:217-240.

    Full description at Econpapers || Download paper

  15. Can Rare Events Explain the Equity Premium Puzzle?. (2012). Julliard, Christian ; Ghosh, Anisha.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8899.

    Full description at Econpapers || Download paper

  16. Trading Activity and Financial Market Integration. (2012). Lee, Chia-Hao ; Pei-I Chou, ; Pei-I Chou, .
    In: The Financial Review.
    RePEc:bla:finrev:v:47:y:2012:i:3:p:589-616.

    Full description at Econpapers || Download paper

  17. A Survey of Systemic Risk Analytics. (2012). Lo, Andrew ; Flood, Mark ; Valavanis, Stavros ; Bisias, Dimitrios .
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:4:y:2012:p:255-296.

    Full description at Econpapers || Download paper

  18. Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-48.

    Full description at Econpapers || Download paper

  19. Has the global banking system become more fragile over time ?. (2011). Demirguc-Kunt, Asli ; Anginer, Deniz.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:5849.

    Full description at Econpapers || Download paper

  20. A dynamic copula approach to recovering the index implied volatility skew. (2011). Fengler, Matthias ; Werner, Christian ; Herwartz, Helmut.
    In: University of St. Gallen Department of Economics working paper series 2010.
    RePEc:usg:dp2010:2010-33.

    Full description at Econpapers || Download paper

  21. Large deviations theorems for optimal investment problems with large portfolios. (2011). Knight, John ; Chu, Ba ; Satchell, Stephen.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:211:y:2011:i:3:p:533-555.

    Full description at Econpapers || Download paper

  22. Do dividends matter more in declining markets?. (2011). Goldstein, Michael ; Fuller, Kathleen P..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:17:y:2011:i:3:p:457-473.

    Full description at Econpapers || Download paper

  23. Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward. (2011). BORIO, Claudio.
    In: BIS Working Papers.
    RePEc:bis:biswps:354.

    Full description at Econpapers || Download paper

  24. The Dependence Structure of Macroeconomic Variables in the US. (2009). Ning, Cathy ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2009_031.

    Full description at Econpapers || Download paper

  25. International Diversification: A Copula Approach. (2009). Lu, Ching-Chih ; de la Pena, Victor ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2009_027.

    Full description at Econpapers || Download paper

  26. International Diversification: An Extreme Value Approach. (2009). Lu, Ching-Chih ; de la Pena, Victor ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2009_026.

    Full description at Econpapers || Download paper

  27. The leverage effect without leverage. (2009). Steude, Sven C. ; Hens, Thorsten.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:6:y:2009:i:2:p:83-94.

    Full description at Econpapers || Download paper

  28. Asset fire sales and purchases and the international transmission of financial shocks. (2009). Ramadorai, Tarun ; Lundblad, Christian ; Jotikasthira, Chotibhak .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7595.

    Full description at Econpapers || Download paper

  29. Asymmetric multivariate normal mixture GARCH. (2008). Mittnik, Stefan ; Haas, Markus ; Paolella, Marc S..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200807.

    Full description at Econpapers || Download paper

  30. Endogenous Information Flows and the Clustering of Announcements. (2008). DeMarzo, Peter ; Acharya, Viral ; Kremer, Ilan ; De Marzo, Peter.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6985.

    Full description at Econpapers || Download paper

  31. Identifying common spectral and asymmetric features in stock returns. (2007). Crato, Nuno ; Caiado, Jorge.
    In: MPRA Paper.
    RePEc:pra:mprapa:6607.

    Full description at Econpapers || Download paper

  32. Model-free evaluation of directional predictability in foreign exchange markets. (2007). Hong, Yongmiao ; Chung, Jaehun.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:5:p:855-889.

    Full description at Econpapers || Download paper

  33. 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

  34. 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

  35. 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

  36. The Variability of IPO Initial Returns. (2006). Schwert, G. ; Officer, Micah S. ; Lowry, Michelle .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12295.

    Full description at Econpapers || Download paper

  37. Estimation of multivariate models for time series of possibly different lengths. (2006). Patton, Andrew.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:2:p:147-173.

    Full description at Econpapers || Download paper

  38. 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

  39. 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

  40. CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs. (2006). Elizalde, Abel.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2006_0608.

    Full description at Econpapers || Download paper

  41. 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

  42. Another look at the relationship between cross-market correlation and volatility. (2005). Bartram, Söhnke ; Wang, Yaw-Huei.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:2:p:75-88.

    Full description at Econpapers || Download paper

  43. 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

  44. Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification. (2004). Demirer, Riza ; Lien, Donald.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:6:p:447-456.

    Full description at Econpapers || Download paper

  45. Asset Pricing with Liquidity Risk. (2004). Pedersen, Lasse ; Acharya, Viral.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10814.

    Full description at Econpapers || Download paper

  46. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

    Full description at Econpapers || Download paper

  47. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:230.

    Full description at Econpapers || Download paper

  48. 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

  49. Market Integration and Contagion. (2003). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9510.

    Full description at Econpapers || Download paper

  50. The Conditional CAPM Does Not Explain Asset-pricing Anomalies. (2003). Nagel, Stefan ; Lewellen, Jonathan .
    In: Working papers.
    RePEc:mit:sloanp:3544.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-19 10:04:47 || 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.