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Does the relationship between small and large portfolios' returns confirm the lead-lag effect? Evidence from the Athens Stock Exchange

Drakos, Anastassios A. - In: Research in international business and finance 36 (2016), pp. 546-561

Persistent link: https://www.econbiz.de/10011594584

Time-varying diversification benefits of commodity futures

Demiralay, Sercan; Bayraci, Selcuk; Gaye Gencer, H. - In: Empirical economics : a journal of the Institute for … 56 (2019) 6, pp. 1823-1853

Persistent link: https://www.econbiz.de/10012052224

A new tail-based correlation measure and its application in global equity markets

Liu, Jinjing - 2019

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure … focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the … existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …

Persistent link: https://www.econbiz.de/10012004764

A portfolio optimization approach with a large number of assets : applications to the US and Korean stock markets

Lee, Miyoung; Kim, Jihun; Oh, Sekyung - In: Asia-Pacific journal of financial studies 47 (2018) 5, pp. 634-659

Persistent link: https://www.econbiz.de/10012009595

Global risk aversion and emerging market return comovements

Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Aydın - In: Economics letters 173 (2018), pp. 118-121

Persistent link: https://www.econbiz.de/10012022952

Another look at large-cap stock return comovement : a semi-Markov-switching approach

Deng, Kaihua - In: Computational economics 51 (2018) 2, pp. 227-262

Persistent link: https://www.econbiz.de/10011963666

Covariance forecasting in equity markets

Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168

Persistent link: https://www.econbiz.de/10011967197

Co-movements and contagion between international stock index futures markets

Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1529-1568

Persistent link: https://www.econbiz.de/10011945853

A latent dynamic factor approach to forecasting multivariate stock market volatility

Gribisch, Bastian - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 621-651

Persistent link: https://www.econbiz.de/10011949857

The role of investor sentiment in the long-term correlation between U.S. stock and bond markets

Fang, Libing; Yu, Honghai; Huang, Yingbo - In: International review of economics & finance : IREF 58 (2018), pp. 127-139

Persistent link: https://www.econbiz.de/10012034198