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Re-examine the dynamic conditional correlation between bond and stock returns : the quantile regression approach
Wu, Bing-tse; Lee, Wo-chiang - In: The empirical economics letters : a monthly … 11 (2012) 5, pp. 493-502
Persistent link: https://www.econbiz.de/10009758161
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Association between Asian equity markets and Western markets : evidence from the indexes of equity markets
Jarrett, Jeffrey E.; Klein, Alina F.; Kyper, Eric - In: Asian Journal of Empirical Research 3 (2013) 8, pp. 972-989
return and the volatility of return for all the markets and estimate the serial correlation and co-movement of the four …
Persistent link: https://www.econbiz.de/10009788601
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Spatial modeling of stock market comovements
Fernández-Avilés, Gema; Montero, Jose-María; Orlov, … - In: Finance research letters 9 (2012) 4, pp. 202-212
Persistent link: https://www.econbiz.de/10009689316
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Exogenous variables in dynamic conditional correlation models for financial markets
Schopen, Jan-Hendrik - 2012
Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …
Persistent link: https://www.econbiz.de/10009698136
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Co-movements between US and UK stock prices : the role of time-varying conditional correlations
Aslanidis, Nektarios; Osborn, Denise R.; Sensier, Marianne - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 366-380
Persistent link: https://www.econbiz.de/10008811289
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Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis
Yao, Jing; Yang, Yiwen - In: Economic modelling 129 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014472100
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Intraday variation in cross-sectional stock comovement and impact of index-based strategies
Shen, Yiwen; Shi, Meiqi - In: Journal of financial markets 68 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10014491084
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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
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Time-varying correlation between stock market returns and real estate returns
Heaney, Richard A.; Sriananthakumar, Sivagowry - In: Journal of empirical finance 19 (2012) 4, pp. 583-594
Persistent link: https://www.econbiz.de/10009615660
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What explains comovement in stock market returns during the 2007 - 2008 crisis?
Didier, Tatiana; Love, Inessa; Martínez Pería, María … - In: International journal of finance & economics : IJFE 17 (2012) 2, pp. 182-202
Persistent link: https://www.econbiz.de/10009615694