Intertemporal stability in international stock market relationships: A revisit
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- Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-675, September.
- Meric, Ilhan & Meric, Gulser, 1989. "Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 627-640, September.
- Hilliard, Jimmy E, 1979. "The Relationship between Equity Indices on World Exchanges," Journal of Finance, American Finance Association, vol. 34(1), pages 103-114, March.
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- Sheedy, Elizabeth, 1998. "Correlation in currency markets a risk-adjusted perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 59-82, January.
- Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017.
"Positive semidefinite integrated covariance estimation, factorizations and asynchronicity,"
Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
- Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, Department of Economics and Business Economics, Aarhus University.
- Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Post-Print hal-01505775, HAL.
- Swanson, Peggy E., 2003. "The interrelatedness of global equity markets, money markets, and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 135-155.
- Adams, Zeno & Füss, Roland & Glück, Thorsten, 2017.
"Are correlations constant? Empirical and theoretical results on popular correlation models in finance,"
Journal of Banking & Finance, Elsevier, vol. 84(C), pages 9-24.
- Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016. "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance 1613, University of St. Gallen, School of Finance.
- Gordon Tang, 1998. "The intertemporal stability of the covariance and correlation matrices of Hong Kong stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 359-365.
- Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2012. "Jump robust daily covariance estimation by disentangling variance and correlation components," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 2993-3005.
- Jan Annaert & Anouk Claes & Marc De Ceuster, 2006. "Intertemporal stability of the European credit spread co-movement structure1," The European Journal of Finance, Taylor & Francis Journals, vol. 12(1), pages 23-32.
- Christian Jochum, 2001. "Is the covariance of international stock market returns regime dependent?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 247-268.
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