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Risk factor and industry effects in the cross-country comovement of momentum returns

Naranjo, Andy; Porter, Burt - In: Journal of international money and finance 29 (2010) 2, pp. 275-299

Persistent link: https://www.econbiz.de/10003944959

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

Persistent link: https://www.econbiz.de/10011440530

Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?

Donadelli, Michael; Paradiso, Antonio - In: The North American journal of economics and finance : a … 28 (2014), pp. 206-220

Persistent link: https://www.econbiz.de/10010461957

International co-movements of real and financial economic variables

Qadan, Mahmod; Yagil, Joseph - In: Applied economics 47 (2015) 31/33, pp. 3347-3366

Persistent link: https://www.econbiz.de/10011293554

Identifying Sources of Correlation in Global Equity Portfolios (September 2010)

Inc., MSCI - 2010

show how the correlation (covariance) information can be aggregated into groups, such as diagonal and off-diagonal blocks …

Persistent link: https://www.econbiz.de/10013136076

International evidence on market linkages after the 2008 stock market crash

Meriç, Gülser; Lentz, Christine; Schmeltz, Wayne; … - In: The international journal of business and finance … 6 (2012) 4, pp. 45-57

Persistent link: https://www.econbiz.de/10009633850

Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)

Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …

Persistent link: https://www.econbiz.de/10012486245

Analysis of financial contagion in influential African stock markets

Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021), pp. 1-9

assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By … analyzing the correlation coefficient series, three phases of the crisis periods were identified {pre-crisis (2004-2007); crisis …

Persistent link: https://www.econbiz.de/10012493750

Assessing the international comovement of equity returns

Abate, Girum Dagnachew; Servén, Luis - 2018

strong dependence, respectively. The factor exhibits a robust negative correlation with market measures of aggregate risk …

Persistent link: https://www.econbiz.de/10011902919

Does extreme correlation matter in global equity asset allocation?

Solnik, Bruno; Watewei, Thaisiri - In: Journal of investment management : JOIM 17 (2019) 1, pp. 4-26

Persistent link: https://www.econbiz.de/10012254254