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ECONIS (ZBW)
88
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1
Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis
Yao, Jing
;
Yang, Yiwen
- In:
Economic modelling
129
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014472100
Saved in:
2
When can the market identify old news?
Fedyk, Anastassia
;
Hodson, James
- In:
Journal of financial economics
149
(
2023
)
1
,
pp. 92-113
Persistent link: https://www.econbiz.de/10014331811
Saved in:
3
The asymmetric dynamics of stock-bond liquidity correlation in China : the role of macro-financial determinants
Pan, Beier
- In:
Economic modelling
124
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463273
Saved in:
4
The role of uncertainty in forecasting volatility comovements across stock markets
Bucci, Andrea
;
Palomba, Giulio
;
Rossi, Eduardo
- In:
Economic modelling
125
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014463541
Saved in:
5
Portfolio optimization in the presence of tail correlation
Ben Abdelaziz, Fouad
;
Chibane, Messaoud
- In:
Economic modelling
122
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014388707
Saved in:
6
Drivers of risk correlation among financial institutions : a study based on a textual risk disclosure perspective
Li, Guowen
;
Jing, Zhongbo
;
Li, Jingyu
;
Feng, Yuyao
- In:
Economic modelling
128
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014464430
Saved in:
7
When are the effects of economic policy uncertainty on oil-stock correlations larger? : evidence from a regime-switching analysis
Liu, Zhenhua
;
Zhang, Huiying
;
Ding, Zhihua
;
Lv, Tao
; …
- In:
Economic modelling
114
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013367585
Saved in:
8
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
Saved in:
9
Market regime detection via realized covariances
Bucci, Andrea
;
Ciciretti, Vito
- In:
Economic modelling
111
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013349063
Saved in:
10
Time-varying risk of nominal bonds : how important are macroeconomic shocks?
Ermolov, Andrey
- In:
Journal of financial economics
145
(
2022
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10013473700
Saved in:
11
Evidence on time-varying inflation synchronization
Szafranek, Karol
- In:
Economic modelling
94
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012694692
Saved in:
12
Correlation regimes in international equity and bond returns
Aslanidis, Nektarios
;
Martinez, Oscar
- In:
Economic modelling
97
(
2021
),
pp. 397-410
Persistent link: https://www.econbiz.de/10012793476
Saved in:
13
Procyclicality of the comovement between dividend growth and consumption growth
Xu, Nancy R.
- In:
Journal of financial economics
139
(
2021
)
1
,
pp. 288-312
Persistent link: https://www.econbiz.de/10012650247
Saved in:
14
Spatial contagion in the subprime crisis context : adjusted correlation versus local correlation approaches
Zorgati, Imen
;
Lakhal, Faten
- In:
Economic modelling
92
(
2020
),
pp. 162-169
Persistent link: https://www.econbiz.de/10012429636
Saved in:
15
Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis
Yang, Yang
;
Zhao, Zhao
- In:
Economic modelling
93
(
2020
),
pp. 728-736
Persistent link: https://www.econbiz.de/10012430347
Saved in:
16
Time-varying dependence in European equity markets : a contagion and investor sentiment driven analysis
Niţoi, Mihai
;
Pochea, Maria Miruna
- In:
Economic modelling
86
(
2020
),
pp. 133-147
Persistent link: https://www.econbiz.de/10012415531
Saved in:
17
Are cyclical patterns of international housing markets interdependent?
Chang, Kuang-Liang
- In:
Economic modelling
88
(
2020
),
pp. 14-24
Persistent link: https://www.econbiz.de/10012416832
Saved in:
18
Oil price and automobile stock return co-movement : a wavelet coherence analysis
Pal, Debdatta
;
Mitra, Subrata Kumar
- In:
Economic modelling
76
(
2019
),
pp. 172-181
Persistent link: https://www.econbiz.de/10012198304
Saved in:
19
Cancer survivors in the labor market : evidence from recent US micro-panel data
Osmani, Ahmad Reshad
;
Okunade, Albert A.
- In:
Economic modelling
80
(
2019
),
pp. 202-221
Persistent link: https://www.econbiz.de/10012200524
Saved in:
20
Time-varying comovement and changes of comovement structure in the Chinese stock market : a causal network method
Bu, Hui
;
Tang, Wenjin
;
Wu, Junjie
- In:
Economic modelling
81
(
2019
),
pp. 181-204
Persistent link: https://www.econbiz.de/10012201934
Saved in:
21
Per capita output convergence across Asian countries : evidence from covariate unit root test with an endogenous structural break
Matsuki, Takashi
- In:
Economic modelling
82
(
2019
),
pp. 99-118
Persistent link: https://www.econbiz.de/10012202377
Saved in:
22
Correlation dynamics of crude oil with agricultural commodities : a comparison between energy and food crops
Pal, Debdatta
;
Mitra, Subrata Kumar
- In:
Economic modelling
82
(
2019
),
pp. 453-466
Persistent link: https://www.econbiz.de/10012203189
Saved in:
23
The comovement and causality between stock market cycle and business cycle in China : evidence from a wavelet analysis
Si, Dengkui
;
Liu, Xi-Hua
;
Kong, Xianli
- In:
Economic modelling
83
(
2019
),
pp. 17-30
Persistent link: https://www.econbiz.de/10012204412
Saved in:
24
Identifying the nonlinear correlation between business cycle and monetary policy rule : evidence from China and the U.S.
Liu, Dayu
;
Xu, Ning
;
Zhao, Tingting
;
Song, Yang
- In:
Economic modelling
73
(
2018
),
pp. 45-54
Persistent link: https://www.econbiz.de/10012100503
Saved in:
25
High-dimensional covariance forecasting based on principal component analysis of high-frequency data
Jian, Zhihong
;
Deng, Pingjun
;
Zhu, Zhican
- In:
Economic modelling
75
(
2018
),
pp. 422-431
Persistent link: https://www.econbiz.de/10012101548
Saved in:
26
Debt correlations in the wake of the financial crisis : what are appropriate default correlations for structured products?
Nickerson, Jordan
;
Griffin, John M.
- In:
Journal of financial economics
125
(
2017
)
3
,
pp. 454-474
Persistent link: https://www.econbiz.de/10011751854
Saved in:
27
Macroeconomic and financial effects of oil price shocks : evidence for the euro area
Morana, Claudio
- In:
Economic modelling
64
(
2017
),
pp. 82-96
Persistent link: https://www.econbiz.de/10011756484
Saved in:
28
Co-movement of ASEAN stock markets : new evidence from wavelet and VMD-based copula tests
Jiang, Yonghong
;
Nie, He
;
Monginsidi, Joe Yohanes
- In:
Economic modelling
64
(
2017
),
pp. 384-398
Persistent link: https://www.econbiz.de/10011761283
Saved in:
29
International correlation risk
Mueller, Philippe
;
Stathopoulos, Andreas
;
Vedolin, Andrea
- In:
Journal of financial economics
126
(
2017
)
2
,
pp. 270-299
Persistent link: https://www.econbiz.de/10011818154
Saved in:
30
Confidence, bond risks, and equity returns
Zhao, Guihai
- In:
Journal of financial economics
126
(
2017
)
3
,
pp. 668-688
Persistent link: https://www.econbiz.de/10011818244
Saved in:
31
The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets
Fang, Libing
;
Yu, Honghai
;
Li, Lei
- In:
Economic modelling
66
(
2017
),
pp. 139-145
Persistent link: https://www.econbiz.de/10011813695
Saved in:
32
Do oil producing countries offer international diversification benefits? : evidence from GCC countries
Mimouni, Karim
;
Charfeddine, Lanouar
;
Al-Azzam, Moh'd
- In:
Economic modelling
57
(
2016
),
pp. 263-280
Persistent link: https://www.econbiz.de/10011646913
Saved in:
33
Exchange rate as a shock absorber in Poland and Slovakia : evidence from Bayesian SVAR models with common serial correlation
Da̜browski, Marek A.
;
Wróblewska, Justyna
- In:
Economic modelling
58
(
2016
),
pp. 249-262
Persistent link: https://www.econbiz.de/10011647345
Saved in:
34
Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis
Kim, Hyun Seok
;
Min, Hong-ghi
;
McDonald, Judith Ann
- In:
Economic modelling
59
(
2016
),
pp. 9-22
Persistent link: https://www.econbiz.de/10011647590
Saved in:
35
Measuring systemic risk using vine-copula
Pourkhanali, Armin
;
Kim, Jong-Min
;
Tafakori, Laleh
; …
- In:
Economic modelling
53
(
2016
),
pp. 63-74
Persistent link: https://www.econbiz.de/10011640962
Saved in:
36
Real growth co-movements and business cycle synchronization in the GCC countries : evidence from time-frequency analysis
Aloui, Chaker
;
Hkiri, Besma
;
Nguyen, Duc Khuong
- In:
Economic modelling
52
(
2016
),
pp. 322-331
Persistent link: https://www.econbiz.de/10011642762
Saved in:
37
Business cycle synchronisation in EMU : can fiscal policy bring member-countries closer?
Degiannakis, Stavros
;
Duffy, David
;
Filis, George
; …
- In:
Economic modelling
52
(
2016
),
pp. 551-563
Persistent link: https://www.econbiz.de/10011642908
Saved in:
38
On the risk comovements between the crude oil market and U.S. dollar exchange rates
Truchis, Gilles de
;
Keddad, Benjamin
- In:
Economic modelling
52
(
2016
),
pp. 206-215
Persistent link: https://www.econbiz.de/10011645629
Saved in:
39
Loan default correlation using an Archimedean copula approach : a case for recalibration
Fenech, Jean Pierre
;
Vosgha, Hamed
;
Shafik, Salwa
- In:
Economic modelling
47
(
2015
),
pp. 340-354
Persistent link: https://www.econbiz.de/10011439450
Saved in:
40
International swap market contagion and volatility
Azad, A. S. M. Sohel
;
Batten, Jonathan A.
;
Fang, Victor
; …
- In:
Economic modelling
47
(
2015
),
pp. 355-371
Persistent link: https://www.econbiz.de/10011439454
Saved in:
41
New empirical evidence from assessing financial market integration, with application to Saudi Arabia
Jouini, Jamel
- In:
Economic modelling
49
(
2015
),
pp. 198-211
Persistent link: https://www.econbiz.de/10011439530
Saved in:
42
Statistical premium in correlated losses of insurance
Lai, Li-Hua
- In:
Economic modelling
49
(
2015
),
pp. 248-253
Persistent link: https://www.econbiz.de/10011439542
Saved in:
43
Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén
;
Ramos, Sofia B.
;
Veiga, Helena
- In:
Economic modelling
50
(
2015
),
pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
Saved in:
44
Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia
Mensi, Walid
;
Hammoudeh, Shawkat
;
Kang, Sang Hoon
- In:
Economic modelling
51
(
2015
),
pp. 340-358
Persistent link: https://www.econbiz.de/10011476048
Saved in:
45
Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo
;
Chi, Xie
;
Cong, Yu
;
Yan, Xu
- In:
Economic modelling
51
(
2015
),
pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
Saved in:
46
Economic value of modeling covariance asymmetry for mixed-asset portfolio diversifications
Zhou, Jian
;
Nicholson, Joseph R.
- In:
Economic modelling
45
(
2015
),
pp. 14-21
Persistent link: https://www.econbiz.de/10011334187
Saved in:
47
Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik
;
Lien, Gudbrand
;
Veka, Steinar
;
Westgaard, Sjur
- In:
Economic modelling
43
(
2014
),
pp. 416-425
Persistent link: https://www.econbiz.de/10010503037
Saved in:
48
An empirical analysis of currency volatilities during the recent global financial crisis
Ozer-Imer, Itir
;
Ozkan, Ibrahim
- In:
Economic modelling
43
(
2014
),
pp. 394-406
Persistent link: https://www.econbiz.de/10010503043
Saved in:
49
Volatility and dynamic conditional correlations of worldwide emerging and frontier markets
Baumöhl, Eduard
;
Lyócsa, Štefan
- In:
Economic modelling
38
(
2014
),
pp. 175-183
Persistent link: https://www.econbiz.de/10010418125
Saved in:
50
Modeling volatility and conditional correlations between socially responsible investments, gold and oil
Sadorsky, Perry A.
- In:
Economic modelling
38
(
2014
),
pp. 609-618
Persistent link: https://www.econbiz.de/10010418963
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