-
1
-
-
0001692870
-
Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets
-
Bodart, V., and P. Reding, "Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets," Journal of International Money and Finance 18 (1999), 133-151.
-
(1999)
Journal of International Money and Finance
, vol.18
, pp. 133-151
-
-
Bodart, V.1
Reding, P.2
-
3
-
-
0041857230
-
Pitfalls in Tests for Changes in Correlation
-
Board of Governors of the Federal Reserve System, Washington
-
Boyer, B., M. Gibson, and M. Loretan, "Pitfalls in Tests for Changes in Correlation," Board of Governors of the Federal Reserve System, international finance discussion paper no. 5-97 (Washington, 1997).
-
(1997)
International Finance Discussion Paper No. 5-97
, vol.5
, Issue.97
-
-
Boyer, B.1
Gibson, M.2
Loretan, M.3
-
4
-
-
0034035847
-
Rational Contagion and the Globalization of Securities Markets
-
Calvo, G. A., and E. G. Mendoza, "Rational Contagion and the Globalization of Securities Markets," Journal of International Economics 51 (2000), 79-113.
-
(2000)
Journal of International Economics
, vol.51
, pp. 79-113
-
-
Calvo, G.A.1
Mendoza, E.G.2
-
5
-
-
0010867949
-
Systemic Risk: A Survey
-
European Central Bank, Frankfurt
-
de Bandt, O., and P. Hartmann, "Systemic Risk: A Survey," ECB working paper no. 35 (European Central Bank, Frankfurt, 2000).
-
(2000)
ECB Working Paper No. 35
, vol.35
-
-
De Bandt, O.1
Hartmann, P.2
-
6
-
-
0002291937
-
Sea and Wind: Multivariate Extremes at Work
-
de Haan, L., and J. de Ronde, "Sea and Wind: Multivariate Extremes at Work," Extremes 1 (1998), 7-45.
-
(1998)
Extremes
, vol.1
, pp. 7-45
-
-
De Haan, L.1
De Ronde, J.2
-
7
-
-
0003123653
-
Safety First Portfolio Selection, Extreme Value Theory and Long Run Asset Risks
-
J. Galambos (Ed.), Kluwer Press
-
de Haan, L., D. W. Jansen, K. Koedijk, and C. G. de Vries, "Safety First Portfolio Selection, Extreme Value Theory and Long Run Asset Risks," in J. Galambos (Ed.), Proceedings from a Conference on Extreme Value Theory and Applications (Kluwer Press, 1994).
-
(1994)
Proceedings from a Conference on Extreme Value Theory and Applications
-
-
De Haan, L.1
Jansen, D.W.2
Koedijk, K.3
De Vries, C.G.4
-
8
-
-
0001591373
-
On the Estimation of the Extreme-Value Index and Large Quantile Estimation
-
Dekkers, A. L. M., and L. de Haan, "On the Estimation of the Extreme-Value Index and Large Quantile Estimation," Annals of Statistics 17 (1989), 1795-1832.
-
(1989)
Annals of Statistics
, vol.17
, pp. 1795-1832
-
-
Dekkers, A.L.M.1
De Haan, L.2
-
9
-
-
1842441614
-
The Dynamics of International Asset Price Linkages and Their Effects on German Stock and Bond Markets
-
BIS conference papers no. 8, Bank for International Settlements, Basel
-
Domanski, D., and M. Kremer, "The Dynamics of International Asset Price Linkages and Their Effects on German Stock and Bond Markets," in International Financial Markets and the Implications for Monetary and Financial Stability, BIS conference papers no. 8, (Bank for International Settlements, Basel, 2000).
-
(2000)
International Financial Markets and the Implications for Monetary and Financial Stability
-
-
Domanski, D.1
Kremer, M.2
-
10
-
-
0030524350
-
Contagious Currency Crises: First Tests
-
Eichengreen, B., A. Rose, and C. Wyplosz, "Contagious Currency Crises: First Tests," Scandinavian Journal of Economics 98 (1996), 463-484.
-
(1996)
Scandinavian Journal of Economics
, vol.98
, pp. 463-484
-
-
Eichengreen, B.1
Rose, A.2
Wyplosz, C.3
-
12
-
-
0004084148
-
-
Washington, October 15
-
Federal Reserve Board, "Press Release" (Washington, October 15, 1998a).
-
(1998)
Press Release
-
-
-
14
-
-
0001266564
-
Information and Volatility Linkages in the Stock, Bond and Money Markets
-
Fleming, J., C. Kirby, and B. Ostdiek, "Information and Volatility Linkages in the Stock, Bond and Money Markets," Journal of Financial Economics 49 (1998), 111-137.
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 111-137
-
-
Fleming, J.1
Kirby, C.2
Ostdiek, B.3
-
15
-
-
0003350474
-
No Contagion, Only Interdependence: Measuring Stock Market Co-movements
-
Forbes, K., and R. Rigobon, "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," Journal of Finance 51 (2002), 2223-2261.
-
(2002)
Journal of Finance
, vol.51
, pp. 2223-2261
-
-
Forbes, K.1
Rigobon, R.2
-
17
-
-
0141793328
-
-
Washington, October 1
-
Greenspan, A., "Testimony of Chairman Alan Greenspan, Private-Sector Refinancing of the Large Hedge Fund Long-Term Capital Management, before the Committee on Banking and Financial Services, U.S. House of Representatives" (Washington, October 1, 1998).
-
(1998)
Testimony of Chairman Alan Greenspan, Private-sector Efinancing of the Large Hedge Fund Long-term Capital Management, before the Committee on Banking and Financial Services, U.S. House of Representatives
-
-
Greenspan, A.1
-
19
-
-
0002407801
-
On Some Simple Estimates of an Exponent of Regular Variation
-
Hall, P., "On Some Simple Estimates of an Exponent of Regular Variation," Journal of the Royal Statistical Society, Series B, 42 (1982), 37-42.
-
(1982)
Journal of the Royal Statistical Society, Series B
, vol.42
, pp. 37-42
-
-
Hall, P.1
-
20
-
-
0001698432
-
Correlations in Price Changes and Volatility across International Stock Markets
-
Hamao, Y., R. W. Masulis, and V. Ng, "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies 3 (1990), 281-307.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 281-307
-
-
Hamao, Y.1
Masulis, R.W.2
Ng, V.3
-
21
-
-
0345401957
-
Asset Market Linkages in Crisis Periods
-
European Central Bank, Frankfurt, July
-
Hartmann, P., S. Straetmans, and C. G. de Vries, "Asset Market Linkages in Crisis Periods," ECB working paper no. 71 (European Central Bank, Frankfurt, July 2001), http://www.ecb.int/pub/wp/ecbwp071.pdf.
-
(2001)
ECB Working Paper No. 71
, vol.71
-
-
Hartmann, P.1
Straetmans, S.2
De Vries, C.G.3
-
22
-
-
2642575592
-
A Global Perspective on Extreme Currency Linkages
-
Cambridge, MA: MIT Press
-
_ "A Global Perspective on Extreme Currency Linkages," in W. C. Hunter, G. G. Kaufman, and M. Pomerleano (Eds.), Asset Price Bubbles: Implications for Monetary, Regulatory and International Policies (Cambridge, MA: MIT Press, 2003).
-
(2003)
Asset Price Bubbles: Implications for Monetary, Regulatory and International Policies
-
-
Hunter, W.C.1
Kaufman, G.G.2
Pomerleano, M.3
-
23
-
-
0011386213
-
A Directory of Coefficients of Tail Dependence
-
Heffernan, J. E., "A Directory of Coefficients of Tail Dependence," Extremes 3 (2001), 279-290.
-
(2001)
Extremes
, vol.3
, pp. 279-290
-
-
Heffernan, J.E.1
-
24
-
-
0001263124
-
A Simple General Approach to Inference about the Tail of a Distribution
-
Hill, B. M., "A Simple General Approach to Inference about the Tail of a Distribution," The Annals of Statistics 3 (1975), 1163-1173.
-
(1975)
The Annals of Statistics
, vol.3
, pp. 1163-1173
-
-
Hill, B.M.1
-
25
-
-
0004057107
-
Statistics of Bivariate Extreme Values
-
PhD thesis no. 22 (Erasmus University, Rotterdam)
-
Huang, Xin, "Statistics of Bivariate Extreme Values," Tinbergen Institute Research Series, PhD thesis no. 22 (Erasmus University, Rotterdam, 1992).
-
(1992)
Tinbergen Institute Research Series
-
-
Huang, X.1
-
26
-
-
0000974326
-
-
this REVIEW
-
Jansen, D. W., and C. G. de Vries, "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," this REVIEW, 73 (1991), 19-24.
-
(1991)
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective
, vol.73
, pp. 19-24
-
-
Jansen, D.W.1
De Vries, C.G.2
-
27
-
-
0034083899
-
On Crises, Contagion and Confusion
-
Kaminsky, G. I., and C. M. Reinhart, "On Crises, Contagion and Confusion," Journal of International Economics 51 (2000), 145-168.
-
(2000)
Journal of International Economics
, vol.51
, pp. 145-168
-
-
Kaminsky, G.I.1
Reinhart, C.M.2
-
28
-
-
0003151378
-
Transmission of Volatility Between Stock Markets
-
King, M., and S. Wadhwani, "Transmission of Volatility Between Stock Markets," Review of Financial Studies 3 (1990), 5-33.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 5-33
-
-
King, M.1
Wadhwani, S.2
-
29
-
-
0013067956
-
A Rational Expectations Model of Financial Contagion
-
Kodres, L. E., and M. Pritsker, "A Rational Expectations Model of Financial Contagion," Journal of Finance 57 (2002), 768-799.
-
(2002)
Journal of Finance
, vol.57
, pp. 768-799
-
-
Kodres, L.E.1
Pritsker, M.2
-
30
-
-
0011366180
-
Contagion as a Wealth Effect
-
Papers and Proceedings
-
Kyle, A. S., and W. Xiong, "Contagion as a Wealth Effect," Journal of Finance (Papers and Proceedings) 56 (2001), 1401-1440.
-
(2001)
Journal of Finance
, vol.56
, pp. 1401-1440
-
-
Kyle, A.S.1
Xiong, W.2
-
31
-
-
0000264314
-
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
-
Lin, W. L., R. Engle, and T. Ito, "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies 1 (1994), 507-538.
-
(1994)
Review of Financial Studies
, vol.1
, pp. 507-538
-
-
Lin, W.L.1
Engle, R.2
Ito, T.3
-
32
-
-
0002525307
-
Is the Correlation in International Equity Returns Constant: 1960-1990?
-
Longin, F., and B. Solnik, "Is the Correlation in International Equity Returns Constant: 1960-1990?" Journal of International Money and Finance 14 (1995), 3-26.
-
(1995)
Journal of International Money and Finance
, vol.14
, pp. 3-26
-
-
Longin, F.1
Solnik, B.2
-
33
-
-
0009662024
-
Extreme Correlation of International Equity Markets
-
_ "Extreme Correlation of International Equity Markets," Journal of Finance 56 (2001), 649-676.
-
(2001)
Journal of Finance
, vol.56
, pp. 649-676
-
-
-
36
-
-
0033565125
-
Estimation of the Coefficient of Tail Dependence in Bivariate Extremes
-
Peng, L., "Estimation of the Coefficient of Tail Dependence in Bivariate Extremes," Statistics & Probability Letters 43 (1999), 399-409.
-
(1999)
Statistics & Probability Letters
, vol.43
, pp. 399-409
-
-
Peng, L.1
-
37
-
-
1842545928
-
New Extreme-Value Dependence Measures and Finance Applications
-
London
-
Poon, S. H., M. Rockinger, and J. Tawn, "New Extreme-Value Dependence Measures and Finance Applications," CEPR discussion paper no. 2762 (London, 2001).
-
(2001)
CEPR Discussion Paper No. 2762
, vol.2762
-
-
Poon, S.H.1
Rockinger, M.2
Tawn, J.3
-
38
-
-
0000845056
-
Volatility and Cross Correlation across Major Stock Markets
-
Ramchand, L., and R. Susmel, "Volatility and Cross Correlation across Major Stock Markets," Journal of Empirical Finance 5 (1998), 397-416.
-
(1998)
Journal of Empirical Finance
, vol.5
, pp. 397-416
-
-
Ramchand, L.1
Susmel, R.2
-
39
-
-
0030518524
-
Financial Crises in Emerging Markets: The Lessons from 1995
-
Sachs, J., A. Tornell, and A. Velasco, "Financial Crises in Emerging Markets: The Lessons from 1995," Brookings Papers on Economic Activity 1 (1996), 147-198.
-
(1996)
Brookings Papers on Economic Activity
, vol.1
, pp. 147-198
-
-
Sachs, J.1
Tornell, A.2
Velasco, A.3
-
40
-
-
0002234093
-
Multivariate Extremes for Models with Constant Conditional Correlations
-
Starica, C., "Multivariate Extremes for Models with Constant Conditional Correlations," Journal of Empirical Finance 6 (1999), 515-553.
-
(1999)
Journal of Empirical Finance
, vol.6
, pp. 515-553
-
-
Starica, C.1
-
41
-
-
0039586160
-
Extreme Financial Returns and their Comovements
-
PhD thesis no. 181 (Rotterdam: Erasmus University)
-
Straetmans, S., "Extreme Financial Returns and their Comovements," Tinbergen Institute research series, PhD thesis no. 181 (Rotterdam: Erasmus University, 1998).
-
(1998)
Tinbergen Institute Research Series
-
-
Straetmans, S.1
-
42
-
-
84888971667
-
Extremal Spill-overs in Equity Markets
-
London: Risk Books
-
_ "Extremal Spill-overs in Equity Markets," in P. Embrechts (Ed.), Extremes and Integrated Risk Management (London: Risk Books, 2000).
-
(2000)
Extremes and Integrated Risk Management
-
-
Embrechts, P.1
-
43
-
-
43049160791
-
Hourly Volatility Spillovers between International Equity Markets
-
Susmel, R., and R. F. Engle, "Hourly Volatility Spillovers between International Equity Markets," Journal of International Money and Finance 13 (1994), 3-25.
-
(1994)
Journal of International Money and Finance
, vol.13
, pp. 3-25
-
-
Susmel, R.1
Engle, R.F.2
|