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A long-run relationship between Eastern European stock markets? : cointegration and the 1997-98 crisis in emerging markets

Jochum, Christian; Kirchgässner, Gebhard; Platek, Mariusz - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 135 (1999) 3, pp. 454-479

Persistent link: https://www.econbiz.de/10001408500

Correlations between oil and stock markets : a wavelet-based approach

Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227

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International equity markets co-movements and contagion : a novel perspective

Kaabia, Olfa - In: The journal of applied business research 31 (2015) 1, pp. 285-304

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What drives the stock market comovements between Korea and China, Japan and the U.S.?

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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868