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Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns. (2002). Christodoulakis, George ; Satchell, Stephen E..
In: European Journal of Operational Research.
RePEc:eee:ejores:v:139:y:2002:i:2:p:351-370.

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  1. Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods. (2024). Gomez-Bravo, Yuli Paola ; Sanchez-Barrios, Luis Javier ; Lukanima, Benedicto Kulwizira.
    In: International Review of Economics & Finance.
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  2. The time-varying correlation between popular narratives and TRY/USD FX rate: Evidence from a DCC-GARCH model. (2023). Ulusoy, Veysel ; Kklerli, Kazam Berk.
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  3. Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula.
    In: European Journal of Operational Research.
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  4. Financial Integration and European Tourism Stocks. (2023). Wu, Jiaying ; Karanasos, Menelaos ; Yfanti, Stavroula ; Caporale, Guglielmo Maria.
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  5. Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan.
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  6. Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo.
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  7. The Dynamic Correlation among Financial Leverage, House Price, and Consumer Expenditure in China. (2021). Wang, Shaonan ; Chang, Ching-Ter ; Dong, Kai ; Liu, Xiaoxi.
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  8. Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model. (2019). Sarkar, Nityananda ; Kundu, Srikanta ; Das, Mahamitra.
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  9. Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas. (2019). Duc, Toan Luu.
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  14. Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. (2017). Tziogkidis, Panagiotis ; Awartani, Basel ; Maghyereh, Aktham I.
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  15. Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas ; Papaioannou, George P.
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  23. Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models. (2014). Lakshina, Valeriya .
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  24. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
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  25. Forecasting the volatility of crude oil futures using intraday data. (2014). Lesage, Cedric ; ben Ali, Chiraz.
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  26. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Aijun .
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  27. Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets. (2014). Bekiros, Stelios.
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  28. On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets. (2014). Conrad, Christian ; Loch, Karin ; Rittler, Daniel .
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  31. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
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  33. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun .
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  34. A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania. (2013). Marcu, Nicu ; Acatrinei, Marius ; GORUN, Adrian .
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  38. Exchange rates and oil prices: A multivariate stochastic volatility analysis. (2012). Ding, Liang ; Vo, Minh .
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  39. Model based Monte Carlo pricing of energy and temperature Quanto options. (2012). Torro, Hipolit ; Caporin, Massimiliano ; Pre, Juliusz .
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  40. On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation. (2012). Conrad, Christian ; Loch, Karin ; Rittler, Daniel .
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  41. Oil and stock market volatility: A multivariate stochastic volatility perspective. (2011). Vo, Minh .
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  42. Model based Monte Carlo pricing of energy and temperature quanto options. (2010). Torro, Hipolit ; Caporin, Massimiliano ; Pres, Juliusz .
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  45. Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model. (2009). So, Mike K. P., ; Yip, Iris W. H., .
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    RePEc:aah:create:2013-04.

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  3. Are South East Europe stock markets integrated with regional and global stock markets?. (2012). Ugur, Mehmet ; Guidi, Francesco .
    In: MPRA Paper.
    RePEc:pra:mprapa:44133.

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  4. On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries. (2012). Menezes, Rui ; Hassani, Hossein ; Dionisio, Andreia.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:4:p:369-384.

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  5. Pitfalls in VAR based return decompositions: A clarification. (2012). Pedersen, Thomas ; Engsted, Tom ; Tanggaard, Carsten .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1255-1265.

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  6. A new model-based approach to measuring time-varying financial market integration. (2011). Berger, Tino ; Pozzi, L..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:11/714.

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  7. Transition to the Euro and its impact on country portfolio diversification. (2011). Smimou, K..
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:25:y:2011:i:1:p:88-103.

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  8. The determinants of increasing equity market comovement: economic or financial integration?. (2010). Baele, Lieven ; Soriano, Pilar.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:146:y:2010:i:3:p:573-589.

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  9. Explaining international stock correlations with CPI fluctuations and market volatility. (2009). Chou, Ray ; Li, Dan ; Cai, Yijie .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:2026-2035.

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  10. Changes in the international comovement of stock returns and asymmetric macroeconomic shocks. (2009). Pierdzioch, Christian ; Kizys, Renatas.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:2:p:289-305.

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  11. The Role of Portfolio Constraints in the International Propagation of Shocks. (2008). Rigobon, Roberto ; Pavlova, Anna.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6647.

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  12. A GARCH-based method for clustering of financial time series: International stock markets evidence. (2007). Crato, Nuno ; Caiado, Jorge.
    In: MPRA Paper.
    RePEc:pra:mprapa:2074.

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  13. Is there an identity within international stock market volatilities?. (2007). Crato, Nuno ; Caiado, Jorge ; Pea, Daniel.
    In: MPRA Paper.
    RePEc:pra:mprapa:2069.

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  14. Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks. (2007). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-11.

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  15. Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets. (2006). Kräussl, Roman ; Canto, Bea ; Kraussl, Roman.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200625.

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  16. Can Fundamentals Explain Cross-Country Correlations of Asset Returns?. (2006). Rodriguez, Rosa ; Restoy, Fernando.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:142:y:2006:i:3:p:585-598.

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  17. Is the Impact of ECB Monetary Policy on EMU Stock Market Returns asymmetric?. (2006). Napolitano, Oreste.
    In: Discussion Papers.
    RePEc:prt:dpaper:1_2006.

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  18. Business-cycle fluctuations and international equity correlations. (2006). Pierdzioch, Christian ; Kizys, Renatas.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:17:y:2006:i:2:p:252-270.

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  19. Price and Volatility Transmission across Borders. (2006). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-5.

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  20. Financial integration of new EU Member States. (2006). Manganelli, Simone ; Kadareja, Arjan ; Gerard, Bruno ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006683.

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  21. Asymmetric Information in the Stock Market: Economic News and Co-movement. (2006). Vega, Clara ; Albuquerque, Rui.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5598.

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  22. The response of global equity indexes to U.S. monetary policy announcements. (2005). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:844.

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  23. Wealth Transfers, Contagion and Portfolio Constraints. (2005). Rigobon, Roberto ; Pavlova, Anna.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5117.

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  24. Can fundamentals explain cross-country correlations of asset returns?. (2005). Restoy, Fernando ; Rodriguez, Rosa.
    In: Working Papers.
    RePEc:bde:wpaper:0540.

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  25. 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.

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  26. Cash flows and discount rates, industry and country effects, and co-movement in stock returns. (2004). Wongswan, Jon ; Ammer, John.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:818.

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  27. The effect of the Euro on country versus industry portfolio diversification. (2004). Flavin, Thomas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:23:y:2004:i:7-8:p:1137-1158.

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  28. Stock Market Cycles, Financial Liberalization and Volatility. (2003). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Edwards, Sebastian.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0803.

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  29. Modelling the linkages between US and Latin American stock markets. (2003). Sosvilla-Rivero, Simon.
    In: Applied Economics.
    RePEc:taf:applec:v:35:y:2003:i:12:p:1423-1434.

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  30. Stock Market Cycles, Financial Liberalization and Volatility. (2003). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Edwards, Sebastian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9817.

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  31. Are correlations of stock returns justified by subsequent changes in national outputs?. (2003). Harvey, Campbell ; Dumas, Bernard ; Ruiz, Pierre.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:22:y:2003:i:6:p:777-811.

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  32. The structure of interdependence in international stock markets. (2003). Yang, Jian ; Bessler, David.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:22:y:2003:i:2:p:261-287.

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  33. International market linkages. (2003). Choi, Jay J. ; Bailey, Warren .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:55:y:2003:i:5-6:p:399-404.

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  34. U.S. multinationals and the home bias puzzle: an empirical analysis. (2003). Salehizadeh, Mehdi.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:14:y:2003:i:3:p:303-318.

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  35. The persistence of international diversification benefits before and during the Asian crisis. (2003). Rose, Lawrence ; Meyer, Thomas O..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:14:y:2003:i:2:p:217-242.

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  36. The empirical relationship between risk and return: evidence from the UK stock market. (2003). Howe, John S. ; Xing, Xuejing.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:12:y:2003:i:3:p:329-346.

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  37. A Bayesian analysis of a variance decomposition for stock returns. (2003). Li, Kai ; Koop, Gary ; Hollifield, Burton.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:5:p:583-601.

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  38. Measuring financial and economic integration with equity prices in emerging markets. (2002). Phylaktis, Kate ; Ravazzolo, Fabiola.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:21:y:2002:i:6:p:879-903.

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  39. The effects of the introduction of the euro on the volatility of European stock markets. (2002). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:10:p:2047-2064.

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  40. Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns. (2002). Christodoulakis, George ; Satchell, Stephen E..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:139:y:2002:i:2:p:351-370.

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  41. Market efficiency, asset returns, and the size of the risk premium in global equity markets. (2002). Lundblad, Christian ; Bansal, Ravi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:109:y:2002:i:2:p:195-237.

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  42. Modelling evolving long-run relationships: the linkages between stock markets in Asia. (2001). Sosvilla-Rivero, Simon.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:13:y:2001:i:2:p:145-160.

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  43. Global equity styles and industry effects: the pre-eminence of value relative to size. (2001). Satchell, Stephen E. ; Kuo, Weiyu .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:11:y:2001:i:1:p:1-28.

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  44. Financial Development and the Sensitivity of Stock Markets to External Influences. (2000). Dellas, Harris ; Hess, Martin K..
    In: Working Papers.
    RePEc:szg:worpap:0006.

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  45. Country and industry factors in returns: evidence from emerging markets stocks. (2000). Serra, Ana Paula.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:1:y:2000:i:2:p:127-151.

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  46. Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?. (2000). Harvey, Campbell ; Dumas, Bernard ; Ruiz, Pierre.
    In: Working Papers.
    RePEc:ecl:upafin:00-2.

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  47. An analysis of the relationship between international bond markets. (2000). Clare, Andrew ; Lekkos, Ilias .
    In: Bank of England working papers.
    RePEc:boe:boeewp:123.

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  48. Competitiveness and the convergence of international business practice: North American evidence after NAFTA. (1999). Braun, Gary P. ; Traichal, Patrick A..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:10:y:1999:i:1:p:107-122.

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  49. Economic determinants of evolution in international stock market integration. (1999). Docking, Diane Scott ; Koch, Paul D. ; Bracker, Kevin.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:6:y:1999:i:1:p:1-27.

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  50. The relationship between international bond markets and international stock markets. (1998). Lim, Edward S. ; Swanson, Peggy E. ; Gallo, John G..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:7:y:1998:i:2:p:181-190.

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