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https://doi.org/10.2139/ssrn.2479841

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inferredcites →https://doi.org/10.1002/0471746193openalex-extracted
Analysis of Financial Time Series
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Forecasting volatility of emerging stock markets: linear versus non-linear GARCH models
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A simplified approach to modeling the co‐movement of asset returns
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What explains comovement in stock market returns during the 2007–2008 crisis?
inferredcites →https://doi.org/10.1007/s10690-009-9092-6openalex-extracted
Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets
inferredcites →https://doi.org/10.1007/s11156-005-7017-7openalex-extracted
Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan
inferredcites →https://doi.org/10.1007/s11222-011-9251-2openalex-extracted
Cholesky-GARCH models with applications to finance
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-extracted
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0304-4076(95)01753-4openalex-extracted
Impulse response analysis in nonlinear multivariate models
inferredcites →https://doi.org/10.1016/j.ememar.2011.09.001openalex-extracted
The roles of news and volatility in stock market correlations during the global financial crisis
inferredcites →https://doi.org/10.1016/j.ijforecast.2011.02.006openalex-extracted
Better to give than to receive: Predictive directional measurement of volatility spillovers
inferredcites →https://doi.org/10.1016/j.irfa.2013.01.009openalex-extracted
Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets
inferredcites →https://doi.org/10.1016/j.jeconom.2006.10.014openalex-extracted
An econometric analysis of asymmetric volatility: Theory and application to patents
inferredcites →https://doi.org/10.1016/j.jimonfin.2009.08.004openalex-extracted
Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis
inferredcites →https://doi.org/10.1016/j.jinteco.2013.10.007openalex-extracted
International capital flows, returns and world financial integration
inferredcites →https://doi.org/10.1016/j.jspi.2010.04.048openalex-extracted
Estimation of covariance matrix via the sparse Cholesky factor with lasso
inferredcites →https://doi.org/10.1016/j.worlddev.2008.07.015openalex-extracted
Spillover Effects Among the Greater China Stock Markets
inferredcites →https://doi.org/10.1016/s0165-1765(97)00214-0openalex-extracted
Generalized impulse response analysis in linear multivariate models
inferredcites →https://doi.org/10.1016/s1044-0283(00)00014-4openalex-extracted
The interaction and volatility asymmetry of unexpected returns in the greater China stock markets
inferredcites →https://doi.org/10.1016/s1057-5219(00)00031-4openalex-extracted
Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle
inferredcites →https://doi.org/10.1017/s0266466603192092openalex-extracted
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
inferredcites →https://doi.org/10.1017/s0266466605050140openalex-extracted
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
inferredcites →https://doi.org/10.1017/s0266466608080614openalex-extracted
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
inferredcites →https://doi.org/10.1080/07474930802467217openalex-extracted
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
inferredcites →https://doi.org/10.1080/09603100500426465openalex-extracted
Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns
inferredcites →https://doi.org/10.1080/09603100903262962openalex-extracted
Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis
inferredcites →https://doi.org/10.1080/09603107.2012.698161openalex-extracted
Dynamic correlation analysis of US financial crisis and contagion: evidence from four OECD countries
inferredcites →https://doi.org/10.1080/1226508x.2010.483834openalex-extracted
Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches
inferredcites →https://doi.org/10.1093/rfs/3.2.281openalex-extracted
Correlations in Price Changes and Volatility across International Stock Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-extracted
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1177/0312896211432369openalex-extracted
The fluctuating default risk of Australian banks
inferredcites →https://doi.org/10.12660/bre.v27n12007.1570openalex-extracted
Comparing Value-at-Risk Methodologies
inferredcites →https://doi.org/10.2139/ssrn.548405openalex-extracted
Banking Reform in China: Catalyzing the Nation's Financial Future
inferredcites →https://doi.org/10.2139/ssrn.61332openalex-extracted
Autoregressive Conditional Skewness
inferredcites →https://doi.org/10.2307/1912559openalex-extracted
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
inferredcites →https://doi.org/10.2307/1912773openalex-extracted
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.2307/2077766openalex-extracted
Time-Varying Volatility and the Dynamic Behavior of the Term Structure
inferredcites →https://doi.org/10.2307/2109358openalex-extracted
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
inferredcites →https://doi.org/10.2307/2938189openalex-extracted
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
inferredcites →https://doi.org/10.2307/2938260openalex-extracted
Conditional Heteroskedasticity in Asset Returns: A New Approach
inferredcites →https://doi.org/10.3386/w13811openalex-extracted
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
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