Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets-Reference-Cited by-同舟云学术

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Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Taamouti Abderrahim,Tsafack Georges

Publisher

Elsevier BV

Reference25 articles.

1. International asset allocation with regime shifts;A Ang;Review of Financial Studies,2002

2. Asymmetric Correlations of Equity Portfolios;A Ang;Journal of Financial Economics,2002

3. Asymmetric Volatility and Risk in Equity Markets;G Bekaert;Review of Financial Studies,2000

4. Studies of Stock Price Volatility Changes;F Black;Proceedings of the 1976 Meetings of the American Statistical Association,1976

5. Generalized Autoregressive Conditional Heteroskedasticity;T Bollerslev;Journal of Econometrics,1986

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On Asymmetric Correlations and Their Applications in Financial Markets;Journal of Risk and Financial Management;2023-03-09

2. Asymmetric Multifractal Detrended Cross-Correlation Analysis (MF-ADCCA);Multifractal Detrended Analysis Method and Its Application in Financial Markets;2018

3. Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market;Physica A: Statistical Mechanics and its Applications;2014-01

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