Is the Correlation in International Equity Returns Constant: 1960-90?
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- Type
- article
- Published
- 1995-02-01
- Cited by
- 1,947
- References
- 53
- OpenAlex
- https://openalex.org/W1975201751
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:28691661
Keywords
Econometrics, Correlation, Economics, Covariance, Autoregressive conditional heteroskedasticity
References
- Estimation and Inference in Nonlinear Structural Models
- International Diversification of Investment Portfolios
- ARCH modeling in finance: A review of the theory and empirical evidence
- The Persistence of Volatility and Stock Market Fluctuations
- No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
- Stability and forecasting of the comovement measures of international stock market returns
- Economic Implications of Extraordinary Movements in Stock Prices
- Multivariate Simultaneous Generalized ARCH
- Stock Returns and Volatility
- Structure and Performance: Global Interdependence of Stock Markets Around the Crash of October 1987
- A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN
- CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
- International Stock Price Movements: Links and Messages
- The Variation of Economic Risk Premiums
- Risk, Time-Varying Second Moments and Market Efficiency
- Economic Significance of Predictable Variations in Stock Index Returns
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS
- Qualitative threshold arch models
- Permanent and Temporary Components of Stock Prices
- Portfolio diversification and the inter-temporal stability of international stock indices
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- CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES
- International stock market liquidity
- Quantifying the Behavior of Stock Correlations Under Market Stress
- Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors
- Implied Correlation Index: A New Measure of Diversification
- Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis
- Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
- Region versus industry effects: volatility transmission
- Potential diversification benefits across global Islamic equity markets
- Are there still portfolio diversification opportunities within the EMU area
- Information Versus Contagion: International Transmissions of the NASDAQ, JASDAQ and KOSDAQ Market Returns
- Modelling Australian stock market volatility
- Looking at New Markets for International Diversification: Frontier Markets Perspective
- Indices boursiers internationaux et la crise des nouvelles technologies : approches switching et DCC-MVGARCH
- Cambio estructural e interdependencia entre los principales índices bursátiles
- Financial contagion during the 2008 Financial Crisis
- Les actions françaises depuis 1854 : analyses et découvertes
- Progress Towards to Equity Market Integration in Eastern Europe
- Dynamic currency hedging for international stock portfolios
- Convergence Dynamics Across International Securitized Real Estate Markets
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