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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
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The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market
Sakemoto, Ryuta - In: Economics and Business Letters : EBL 7 (2018) 1, pp. 24-35
Persistent link: https://www.econbiz.de/10011859269
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Asymmetry in stock comovements : an entropy approach
Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507
Persistent link: https://www.econbiz.de/10011930502
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Foreign direct investment as a determinant of cross-country stock market comovement
Anagnostopoulos, Alexios; Atesagaoglu, Orhan Erem; … - 2019 - This draft: July 22, 2019
Persistent link: https://www.econbiz.de/10012203966
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Forecasting the impact of information security breaches on stock market returns and VaR backtest
Colivicchi, Ilaria; Vignaroli, Riccardo - In: Journal of mathematical finance 9 (2019) 3, pp. 402-454
Persistent link: https://www.econbiz.de/10012210337
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Correlations
Ehling, Paul; Heyerdahl-Larsen, Christian - 2014
Persistent link: https://www.econbiz.de/10011788857
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Estimation of volatility and correlation with multivariate generalized autoregressive conditional heteroskedasticity models : an application to Moroccan stock markets
Belasri, Yassine; Ellaia, Rachid - In: International journal of economics and financial issues … 7 (2017) 2, pp. 384-396
Persistent link: https://www.econbiz.de/10011789279
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What drives dynamic comovements of stock markets in the Pacific Basin region? : a quantile regression approach
Lee, Hyunchul; Seung Mo Cho - In: International review of economics & finance : IREF 51 (2017), pp. 314-327
Persistent link: https://www.econbiz.de/10011754455
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Tail relation between return and volume in the US stock market : an analysis based on extreme value theory
Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254
Persistent link: https://www.econbiz.de/10011618837
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Determinants of equity return correlations : a case study of the Amman Stock Exchange
Alomari, Mohammad; Power, David M.; Tantisantiwong, Nongnuch - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10011979091