-
3
-
-
33644920961
-
How do crises spread? Evidence from accessible and inaccessible stock indices
-
Boyer B., Kunagai T., and Yuan K. How do crises spread? Evidence from accessible and inaccessible stock indices. Journal of Finance 61 (2006) 957-1003
-
(2006)
Journal of Finance
, vol.61
, pp. 957-1003
-
-
Boyer, B.1
Kunagai, T.2
Yuan, K.3
-
4
-
-
43049164024
-
On measuring synchronization of bulls and bears: The case of East Asia
-
Candelon B., Piplack J., and Straetmans S. On measuring synchronization of bulls and bears: The case of East Asia. Journal of Banking and Finance 32 (2008) 1022-1035
-
(2008)
Journal of Banking and Finance
, vol.32
, pp. 1022-1035
-
-
Candelon, B.1
Piplack, J.2
Straetmans, S.3
-
5
-
-
56549096783
-
Predicting the bear stock market: Macroeconomic variables as leading indicators
-
Chen S. Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking and Finance 33 (2009) 211-223
-
(2009)
Journal of Banking and Finance
, vol.33
, pp. 211-223
-
-
Chen, S.1
-
6
-
-
62749120046
-
Extreme coexceedances in new EU member states stock markets
-
Christiansen C., and Ranaldo A. Extreme coexceedances in new EU member states stock markets. Journal of Banking and Finance 33 (2009) 1048-1057
-
(2009)
Journal of Banking and Finance
, vol.33
, pp. 1048-1057
-
-
Christiansen, C.1
Ranaldo, A.2
-
7
-
-
34547856999
-
A simple distribution-free test for nonnested model selection
-
Clarke K. A simple distribution-free test for nonnested model selection. Political Analysis 15 (2007) 347-363
-
(2007)
Political Analysis
, vol.15
, pp. 347-363
-
-
Clarke, K.1
-
8
-
-
0037212429
-
International equity market comovements: Economic fundamentals or contagion?
-
Connolly R., and Wang F. International equity market comovements: Economic fundamentals or contagion?. Pacific-Basin Finance Journal 11 (2003) 23-43
-
(2003)
Pacific-Basin Finance Journal
, vol.11
, pp. 23-43
-
-
Connolly, R.1
Wang, F.2
-
11
-
-
22544487527
-
Empirical modelling of contagion: A review of methodologies
-
Dungey, M., Fry, R., Gonzlez-Hermosillo, B., Martin, V., 2005. Empirical modelling of contagion: A review of methodologies. Quantitative Finance, 5, 9-24.
-
(2005)
Quantitative Finance
, vol.5
, pp. 9-24
-
-
Dungey, M.1
Fry, R.2
Gonzlez-Hermosillo, B.3
Martin, V.4
-
12
-
-
79959788250
-
-
CAMA working paper 2008-15
-
Dungey, M., Fry, R., Gonzlez-Hermosillo, B., Martin, V., Tang, C., 2008. Are financial crises alike? CAMA working paper 2008-15.
-
(2008)
Are financial crises alike
-
-
Dungey, M.1
Fry, R.2
Gonzlez-Hermosillo, B.3
Martin, V.4
Tang, C.5
-
13
-
-
33947700826
-
Unravelling financial market linkages during crises
-
Dungey M., and Martin V. Unravelling financial market linkages during crises. Journal of Applied Econometrics 22 (2007) 89-119
-
(2007)
Journal of Applied Econometrics
, vol.22
, pp. 89-119
-
-
Dungey, M.1
Martin, V.2
-
14
-
-
0036268426
-
Is the international propagation of financial shocks non-linear? Evidence from the ERM
-
Favero C., and Giavazzi F. Is the international propagation of financial shocks non-linear? Evidence from the ERM. Journal of International Economics 57 (2002) 231-246
-
(2002)
Journal of International Economics
, vol.57
, pp. 231-246
-
-
Favero, C.1
Giavazzi, F.2
-
15
-
-
36249012504
-
Extreme interdependence and extreme contagion between emerging markets
-
Fazio G. Extreme interdependence and extreme contagion between emerging markets. Journal of International Money and Finance 26 (2007) 1261-1291
-
(2007)
Journal of International Money and Finance
, vol.26
, pp. 1261-1291
-
-
Fazio, G.1
-
16
-
-
0003350474
-
No contagion, only interdependence: Measuring stock market comovements
-
Forbes K., and Rigobon R. No contagion, only interdependence: Measuring stock market comovements. Journal of Finance 57 (2002) 2223-2261
-
(2002)
Journal of Finance
, vol.57
, pp. 2223-2261
-
-
Forbes, K.1
Rigobon, R.2
-
17
-
-
0000109477
-
Economic and statistical measures of forecast accuracy
-
Granger C., and Pesaran M. Economic and statistical measures of forecast accuracy. Journal of Forecasting 19 (2000) 537-560
-
(2000)
Journal of Forecasting
, vol.19
, pp. 537-560
-
-
Granger, C.1
Pesaran, M.2
-
18
-
-
0001698432
-
Correlations in price changes and volatility across international stock markets
-
Hamao Y., Masulis R., and Ng V. 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.2
Ng, V.3
-
20
-
-
34447619513
-
The limits of diversification when losses may be large
-
Ibragimov R., and Walden J. The limits of diversification when losses may be large. Journal of Banking and Finance 31 (2007) 2551-2569
-
(2007)
Journal of Banking and Finance
, vol.31
, pp. 2551-2569
-
-
Ibragimov, R.1
Walden, J.2
-
21
-
-
0033174090
-
The current international financial crisis: How much is new?
-
Kamin S. The current international financial crisis: How much is new?. Journal of International Money and Finance 18 (1999) 501-514
-
(1999)
Journal of International Money and Finance
, vol.18
, pp. 501-514
-
-
Kamin, S.1
-
22
-
-
0039624712
-
The twin crises: The causes of banking and balance-of-payments problems
-
Kaminsky G., and Reinhart C. The twin crises: The causes of banking and balance-of-payments problems. American Economic Review 98 3 (1999) 473-500
-
(1999)
American Economic Review
, vol.98
, Issue.3
, pp. 473-500
-
-
Kaminsky, G.1
Reinhart, C.2
-
24
-
-
0003151378
-
Transmission of volatility between stock markets
-
King M., and Wadhwani S. 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
-
25
-
-
47949112792
-
Measuring financial contagion using time-aligned data: The importance of the speed of transmissions of shocks
-
Kleimeier S., Lehnert T., and Verschoor W. Measuring financial contagion using time-aligned data: The importance of the speed of transmissions of shocks. Oxford Bulletin of Economics and Statistics 70 (2008) 493-508
-
(2008)
Oxford Bulletin of Economics and Statistics
, vol.70
, pp. 493-508
-
-
Kleimeier, S.1
Lehnert, T.2
Verschoor, W.3
-
27
-
-
3042673957
-
International business cycles: World, region, and country-specific factors
-
Kose M., Otrok C., and Whiteman C. International business cycles: World, region, and country-specific factors. American Economic Review 93 (1990) 1216-1239
-
(1990)
American Economic Review
, vol.93
, pp. 1216-1239
-
-
Kose, M.1
Otrok, C.2
Whiteman, C.3
-
28
-
-
0001771044
-
Does the October 1987 crash strengthen the comovements among national stock markets?
-
Lee S., and Kim K. Does the October 1987 crash strengthen the comovements among national stock markets?. Review of Financial Economics 3 (1993) 89-102
-
(1993)
Review of Financial Economics
, vol.3
, pp. 89-102
-
-
Lee, S.1
Kim, K.2
-
29
-
-
0002525307
-
Is the correlation in international equity returns constant: 1960-1990?
-
Longin F., and Solnik B. 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
-
30
-
-
0009662024
-
Extreme correlations of international equity markets
-
Longin F., and Solnik B. Extreme correlations of international equity markets. Journal of Finance 56 (2001) 649-676
-
(2001)
Journal of Finance
, vol.56
, pp. 649-676
-
-
Longin, F.1
Solnik, B.2
-
31
-
-
0042358160
-
Evaluating correlation breakdowns during periods of market volatility
-
Bank for International Settlements, Basel, Switzerland, pp
-
Loretan, M., English, W., 2000. Evaluating correlation breakdowns during periods of market volatility. In: International Financial Markets and the Implications for Monetary and Financial Stability. Bank for International Settlements, Basel, Switzerland, pp. 214-231.
-
(2000)
International Financial Markets and the Implications for Monetary and Financial Stability
, pp. 214-231
-
-
Loretan, M.1
English, W.2
-
32
-
-
0001470636
-
The measurement of urban travel demand
-
McFadden D. The measurement of urban travel demand. Journal of Public Economics 3 (1974) 303-328
-
(1974)
Journal of Public Economics
, vol.3
, pp. 303-328
-
-
McFadden, D.1
-
34
-
-
0034165316
-
Volatility spillover effects from Japan and the US to the Pacific-Basin
-
Ng A. Volatility spillover effects from Japan and the US to the Pacific-Basin. Journal of International Money and Finance 19 (2000) 207-233
-
(2000)
Journal of International Money and Finance
, vol.19
, pp. 207-233
-
-
Ng, A.1
-
37
-
-
1642403460
-
Automatic block-length selection for the dependent bootstrap
-
Politis D., and White H. Automatic block-length selection for the dependent bootstrap. Econometric Reviews 23 (2004) 53-70
-
(2004)
Econometric Reviews
, vol.23
, pp. 53-70
-
-
Politis, D.1
White, H.2
-
38
-
-
34247183283
-
Measuring financial contagion: A copula approach
-
Rodriguez J. Measuring financial contagion: A copula approach. Journal of Empirical Finance 14 (2007) 401-432
-
(2007)
Journal of Empirical Finance
, vol.14
, pp. 401-432
-
-
Rodriguez, J.1
-
39
-
-
0000646447
-
Likelihood ratio tests for model selection and non-nested hypotheses
-
Vuong Q. Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57 (1989) 307-333
-
(1989)
Econometrica
, vol.57
, pp. 307-333
-
-
Vuong, Q.1
|