Regime Switches in the Volatility and Correlation of Financial Institutions-Reference-Cited by-同舟云学术

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Regime Switches in the Volatility and Correlation of Financial Institutions

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Boudt Kris,Danielsson Jon,Koopman Siem Jan,Lucas Andre

Publisher

Elsevier BV

Reference232 articles.

1. Liquidity and leverage;T Adrian;Journal of Financial Intermediation,2010

2. Bubbles and crises;F Allen;Economic Journal,2000

3. Churning bubbles;F Allen;Review of Economic Studies,1993

4. Asymmetric correlations of equity portfolios;A Ang;Journal of Financial Economics,2002

5. Bayesian estimation of a markov-switching threshold asymmetric GARCH model with Student-t innovations;D Ardia;Econometrics Journal,2009

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