Correlation dynamics between Asia-Pacific, EU and US stock returns
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- Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
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"Robust global stock market interdependencies,"
International Review of Financial Analysis, Elsevier, vol. 20(4), pages 215-224, August.
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- Alexander Eptas & Lawrence A. Leger, 2010. "A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens," JRFM, MDPI, vol. 3(1), pages 1-21, December.
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Keywords
dynamic conditional correlation; asymmetry; international portfolio diversification;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F3 - International Economics - - International Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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