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Asymmetric dynamics in the correlations of global equity and bond returns. (2003). Engle, Robert ; Sheppard, Kevin ; Cappiello, Lorenzo.
In: Working Paper Series.
RePEc:ecb:ecbwps:2003204.

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  1. Contagion and linkages across international currencies. (2024). Tuteja, Divya ; Bhatia, Shipra.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002333.

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  2. Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020). (2021). Villa, Jorge Lopez ; Castro, Miriam Sosa.
    In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance).
    RePEc:imx:journl:v:16:y:2021:i:tnea:a:3.

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  3. Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches. (2016). Masih, Abul ; Rahim, Adam Mohamed .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:425-438.

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  4. Food–energy nexus in Europe: Price volatility approach. (2015). serra, teresa ; Abdelradi, Fadi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:157-167.

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  5. Volatility transmission and volatility impulse response functions among the Greater China stock markets. (2015). Jin, Xiaoye.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:39:y:2015:i:c:p:43-58.

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  6. Contagion Effects of US Subprime Crisis on ASEAN-5 Stock Markets: Evidence from MGARCH-DCC Application. (2014). Masih, Abul ; Chunxiu, Ma.
    In: MPRA Paper.
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  7. On the distribution of government bond returns: evidence from the EMU. (2014). Lau, Christian ; Gabriel, Christian .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:28:y:2014:i:2:p:181-203.

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  8. Commodity Price Correlation and Time varying Hedge Ratios. (2014). Guesmi, Khaled ; Lahiani, Amine.
    In: Working Papers.
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  9. Emerging market sovereign bond spreads and shifts in global market sentiment. (2014). Csonto, Balazs .
    In: Emerging Markets Review.
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  10. Asymmetric Correlation of Sovereign Bond Yield Dynamics in the Eurozone. (2013). Dajcman, Silvo.
    In: Panoeconomicus.
    RePEc:voj:journl:v:60:y:2013:i:6:p:775-789.

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  11. Price volatility in food markets: can stock building mitigate price fluctuations?. (2013). serra, teresa ; Gil, Jose M..
    In: European Review of Agricultural Economics.
    RePEc:oup:erevae:v:40:y:2013:i:3:p:507-528.

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  12. 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, .
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  13. Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets. (2013). Aijo, Janne ; Nikkinen, Jussi ; Kotkatvuori-ornberg, Juha .
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  15. Price volatility in food markets: can stock building mitigate price fluctuations?. (2012). serra, teresa ; Gil, Jose Maria.
    In: 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil.
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  16. Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model. (2011). Ullah, Aman ; Su, Liangjun ; Amanullah, ; Long, Xiangdong .
    In: Journal of Business & Economic Statistics.
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  17. Stock and bond market interactions with two regime shifts: evidence from Turkey. (2011). kahyaoglu, hakan ; Cagli, Efe ; Evrim-Mandaci, Pinar .
    In: Applied Financial Economics.
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  18. Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?. (2011). TANG, Edward Chi Ho ; Leung, Charles ; CHEUNG, W. Y. Patrick, ; TANG, C. H. Edward, ; Leung, Charles Ka Yui, .
    In: MPRA Paper.
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  19. Volatility spillovers between food and energy markets: A semiparametric approach. (2011). serra, teresa.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1155-1164.

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  20. Modelling Correlation in Carbon and Energy Markets. (2011). Koenig, P..
    In: Cambridge Working Papers in Economics.
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  21. Volatility in EMU sovereign bond yields: Permanent and transitory components. (2011). Sosvilla-Rivero, Simon ; Morales-Zumaquero, Amalia .
    In: Working Papers.
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  22. Modelling the interactions across international stock, bond and foreign exchange markets. (2010). McAleer, Michael ; Hakim, Abdul.
    In: Applied Economics.
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  23. Stock-bond co-movements and cross-country linkages. (2010). Baur, Dirk.
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  24. EMU and European government bond market integration. (2010). Gómez-Puig, Marta ; Chuliá, Helena ; Abad, Pilar ; Chulia, Helena ; Gomez-Puig, Marta.
    In: Journal of Banking & Finance.
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  25. Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis. (2010). Spazzini, Filippo ; Rossi, Eduardo.
    In: Computational Statistics & Data Analysis.
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  26. Volatility Transmission in Emerging European Foreign Exchange Markets. (2010). Kočenda, Evžen ; Bubak, Vit ; Kocenda, Even ; Zikes, Filip.
    In: CESifo Working Paper Series.
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  27. Modelling asset correlations during the recent FInancial crisis: A semiparametric approach. (2010). Casas, Isabel ; Aslanidis, Nektarios.
    In: CREATES Research Papers.
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  28. Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model Variables with Econometric Applications. (2009). Ullah, Aman ; Su, Liangjun ; Amanullah, ; Long, Xiangdong .
    In: Working Papers.
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  29. Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence. (2009). McAleer, Michael ; Hakim, Abdul.
    In: CIRJE F-Series.
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  30. Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets. (2009). McAleer, Michael ; Hakim, Abdul.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf663.

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  31. Have Euro Area Government Bond Risk Premia Converged To Their Common State?. (2009). Wolswijk, Guido ; Pozzi, Lorenzo.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080042.

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  32. Bond market and stock market integration in Europe: a smooth transition approach. (2009). Jansen, W. Jos ; Berben, Robert-Paul.
    In: Applied Economics.
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  33. International Diversification: A Copula Approach. (2009). Lu, Ching-Chih ; de la Pena, Victor ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
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  34. Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence. (2009). McAleer, Michael ; Hakim, Abdul.
    In: Econometric Institute Research Papers.
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  35. Flights and contagion--An empirical analysis of stock-bond correlations. (2009). lucey, brian ; Baur, Dirk.
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  36. Sequential conditional correlations: Inference and evaluation. (2009). Palandri, Alessandro.
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  37. Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years. (2009). Menkveld, Albert ; Yang, Zhishu ; Lin, Kuan-Pin .
    In: China Economic Review.
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  38. EMU and European government bond market integration. (2009). Gómez-Puig, Marta ; Chuliá, Helena ; Abad, Pilar ; Chulia, Helena ; Gomez-Puig, Marta.
    In: Working Paper Series.
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  39. Do Inflation-Linked Bonds Still Diversify ?. (2009). Briere, Marie ; Signori, Ombretta.
    In: Economics Papers from University Paris Dauphine.
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  40. Dependence Structure and Extreme Comovements in International Equity and Bond Markets. (2009). Garcia, René ; Tsafack, Georges .
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  41. Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence. (2009). McAleer, Michael ; Hakim, Abdul.
    In: CARF F-Series.
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  42. Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets. (2009). McAleer, Michael ; Hakim, Abdul.
    In: CARF F-Series.
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  43. Dynamic Conditional Correlations in Political Science. (2008). Boxsteffensmeier, Janet M ; Lebo, Matthew J.
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  44. Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2008). Caporin, Massimiliano ; Kasch, Maria .
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  45. The dynamics among G7 government bond and equity markets and the implications for international capital market diversification. (2008). Smith, Kenneth L. ; Swanson, Peggy E..
    In: Research in International Business and Finance.
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  46. How important is asymmetric covariance for the risk premium of international assets?. (2008). Mazzotta, Stefano.
    In: Journal of Banking & Finance.
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  47. How do policy and information shocks impact co-movements of Chinas T-bond and stock markets?. (2008). Li, Xiao-Ming ; Zou, Li-Ping.
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  48. Assessing the integration of Asias equity and bond markets. (2008). Bank for International Settlements, .
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  49. Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data. (2007). Kočenda, Evžen ; Égert, Balázs.
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  50. Forecasting volatility: Evidence from the Macedonian stock exchange. (2007). Kovačić, Zlatko ; Kovai, Zlatko.
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  51. The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics. (2007). Kim, Sol ; Noh, Jaesun ; Baek, In-Seok.
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  52. The effect of monetary unification on public debt and its real return. (2007). Beetsma, Roel ; Vermeylen, Koen .
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  53. Decomposing European Bond and Equity Volatility. (2007). Christiansen, Charlotte.
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  54. Cross-city hedging with weather derivatives using bivariate DCC GARCH models. (2006). Kosater, Peter .
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  55. The Euro Introduction and Non-Euro Currencies. (2006). van Dijk, Dick ; Munandar, Haris ; Hafner, Christian.
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  56. An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model. (2006). Vargas, Gregorio.
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  57. Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar. (2006). Siourounis, Gregorios ; Portes, Richard ; Papaioannou, Elias.
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  58. The Euro and Financial Integration. (2006). Waelti, Sébastien ; Lane, Philip ; Walti, Sebastien .
    In: The Institute for International Integration Studies Discussion Paper Series.
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  59. Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area. (2006). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
    In: The Institute for International Integration Studies Discussion Paper Series.
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  60. Correlation dynamics in European equity markets. (2006). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
    In: Research in International Business and Finance.
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  61. Optimal currency shares in international reserves: The impact of the euro and the prospects for the dollar. (2006). Siourounis, Gregorios ; Portes, Richard ; Papaioannou, Elias.
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  62. Evolution of international stock and bond market integration: Influence of the European Monetary Union. (2006). Wu, Eliza ; Kim, Suk-Joong ; Moshirian, Fariborz .
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  63. Macroeconomic announcements and asymmetric volatility in bond returns. (2006). de Goeij, Peter ; Marquering, Wessel .
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  64. Dynamics of bond market integration between established and accession European Union countries. (2006). Wu, Eliza ; lucey, brian ; Kim, Suk-Joong.
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  65. Valuing volatility spillovers. (2006). Thorp, Susan ; Milunovich, George.
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  66. The impact of general non-parametric volatility functions in multivariate GARCH models. (2006). Audrino, Francesco.
    In: Computational Statistics & Data Analysis.
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  67. Optimal currency shares in international reserves: the impact of the euro and the prospects for the dollar. (2006). Siourounis, Gregorios ; Portes, Richard ; Papaioannou, Elias.
    In: Working Paper Series.
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  74. Valuing Volatility Spillovers. (2005). Thorp, Susan ; Milunovich, George.
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  80. Decomposing European bond and equity volatility. (2005). Christiansen, Charlotte.
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  84. The Effect of Monetary Unification on Public Debt and its Real Return. (2005). Beetsma, Roel ; Vermeylen, Koen .
    In: CESifo Working Paper Series.
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  85. On Prosperity and Posterity: The Need for Fiscal Discipline in a Monetary Union. (2005). Detken, Carsten ; Winkler, Bernhard ; Gaspar, Vitor.
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  86. The Euro and European Financial Market Integration. (2004). Bartram, Söhnke ; Taylor, Stephen ; Wang, Yaw-Huei.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
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  87. Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets. (2004). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
    In: The Institute for International Integration Studies Discussion Paper Series.
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  2. What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets. (2016). Masih, Abul ; Mansur, A ; Dewandaru, Ginanjar.
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  3. Financial Contagion in Latin America. (2015). Torres, Jhon ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Torres-Gorron, Jhon E. ; Bejarano-Bejarano, Luis V..
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  4. Measuring Contagion Risk in High Volatility State between Major Banks in Taiwan by Threshold Copula GARCH Model. (2014). Su, Ender .
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  5. Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis. (2013). wang, kuan min ; Lai, Hung-Cheng .
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  10. Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets. (2011). Kouretas, Georgios ; Syllignakis, Manolis N..
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  11. Financial integration and currency risk premium in CEECs: Evidence from the ICAPM. (2011). Guillaumin, Cyriac ; Boubakri, Salem.
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  15. Regime switching based portfolio selection for pension funds. (2007). Frauendorfer, Karl ; Schwendener, Alvin ; Jacoby, Ulrich.
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  16. Comovements in International Stock Markets. (2006). MORANA, CLAUDIO ; Beltratti, Andrea.
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  19. Correlation Dynamics in European Equity Markets. (2005). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
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  20. Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets. (2004). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
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  21. Asymmetry, Loss Aversion and Forecasting. (2004). Bond, Shaun A. ; Satchell, Stephen E..
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  22. Stress-testing financial systems: an overview of current methodologies. (2004). Sorge, Marco .
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  23. Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach. (2003). Suleimann Lemand, Ryan.
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  24. Evaluating Portfolio Policies: A Duality Approach. (2003). Kogan, Leonid ; Wang, Jiang ; Haugh, Martin B..
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  25. Contagion and interdependence in stock markets: Have they been misdiagnosed?. (2003). Pelizzon, Loriana ; Billio, Monica.
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  26. Asymmetric dynamics in the correlations of global equity and bond returns. (2003). Engle, Robert ; Sheppard, Kevin ; Cappiello, Lorenzo.
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  37. Conditional Dependency of Financial Series: An Application of Copulas.. (2001). Rockinger, Michael ; Jondeau, Eric.
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  39. Paying for minimum interest rate guarantees: Who should compensate who?. (2000). Jensen, Bjarne Astrup ; Sorensen, Carsten .
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  40. Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability. (2000). Lynch, Anthony W..
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  41. The term structure of very short-term rates: New evidence for the expectations hypothesis. (2000). Longstaff, Francis ; Longstaff Francis A., .
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  42. Value-at-Risk: a multivariate switching regime approach. (2000). Pelizzon, Loriana ; Billio, Monica.
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  43. Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?. (2000). Harvey, Campbell ; Dumas, Bernard ; Ruiz, Pierre.
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  44. Extreme correlation of international equity markets. (2000). Solnik, Bruno ; Longin, Franois .
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  45. Extreme Correlation of International Equity Markets. (2000). Solnik, Bruno H ; Longin, Franois .
    In: CEPR Discussion Papers.
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  46. Does Correlation between Stock Returns Really Increase during Turbulent Period?.. (2000). Jondeau, Eric ; Chesnay, F..
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  47. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (1999). Viceira, Luis ; Chacko, George .
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  48. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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  49. Assessing the impact of short-sale constraints on the gains from international diversification. (1999). Wang, Zhenyu ; Li, Kai.
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  50. Correlation Structure of International Equity Markets During Extremely Volatile Periods. (1998). Franois, LONGIN ; Bruno, SOLNIK.
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