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

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

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