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Correlation structure of international equity markets during extremely volatile periods

Longin, François M.; Solnik, Bruno - 1998

Persistent link: https://www.econbiz.de/10000996169

Stochastic equity volatility related to the leverage effect

Bensoussan, Alain; Crouhy, Michel; Galai, Dan - 1994

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Information content of Russian stock indices

Rockinger, Michael; Urga, Giovanni - 1997

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On the links between stock and commodity markets' volatility

Creti, Anna; Joëts, Marc; Mignon, Valérie - Université Paris-Dauphine (Paris IX) - 2013

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...

Persistent link: https://www.econbiz.de/10011265523