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Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes : an application of the trivariate FIEC-FIGARCH model

Liu, Hsiang-hsi - In: Economic modelling 29 (2012) 6, pp. 2724-2733

Persistent link: https://www.econbiz.de/10009673617

Comovements in international stock markets : what can we learn from a common trend-common cycle analysis?

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - In: De economist : Netherlands economic review ; quarterly … 148 (2000) 3, pp. 395-406

Persistent link: https://www.econbiz.de/10001508864

Stochastic correlation across international stock markets

Ball, Clifford A.; Torous, Walter N. - In: Journal of empirical finance 7 (2000) 3/4, pp. 373-388

Persistent link: https://www.econbiz.de/10001558278

Economic determinants of the correlation structure across international equity markets

Bracker, Kevin; Koch, Paul Douglas - In: Journal of economics & business 51 (1999) 5, pp. 443-471

Persistent link: https://www.econbiz.de/10001496461

Threshold effect in international linkage of stock prices

Hirayama, Kenjiro - In: Japan and the world economy : international journal of … 10 (1998) 4, pp. 441-453

Persistent link: https://www.econbiz.de/10001251380

Parametric Value-at-Risk analysis : evidence from stock indices

Mabrouk, Samir; Saadi, Samir - In: The quarterly review of economics and finance : journal … 52 (2012) 3, pp. 305-321

Persistent link: https://www.econbiz.de/10009683550

Extreme value dependence in financial markets : diagnostics, models, and financial implications

Poon, Ser-Huang; Rockinger, Michael; Twan, Jonathan - In: The review of financial studies 17 (2004) 2, pp. 581-610

Persistent link: https://www.econbiz.de/10002028108

Are stock returns long term dependent? : Some empirical evidence

Jacobsen, Ben - In: Journal of international financial markets, … 5 (1995) 2/3, pp. 37-52

Persistent link: https://www.econbiz.de/10001507986

January barometer in international equity markets

Adrangi, Bahram; Shank, Todd M.; Adams, Brian - In: Journal of foreign exchange and international finance : … 12 (1998) 2, pp. 121-134

Persistent link: https://www.econbiz.de/10001400923

International evidence on sticky consumption growth

Carroll, Chris (contributor); Slacalek, Jirka (contributor); … - 2008

"We estimate the degree of 'stickiness' in aggregate consumption growth (sometimes interpreted as reflecting consumption habits) for thirteen advanced economies. We find that, after controlling for measurement error, consumption growth has a high degree of autocorrelation, with a stickiness...

Persistent link: https://www.econbiz.de/10003651594

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