Journal ArticleDOI
Is the correlation in international equity returns constant: 1960–1990?
François Longin,Bruno Solnik +1 more
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In this article, the authors studied the correlation of monthly excess returns for seven major countries over the period 1960-90 and found that the international covariance and correlation matrices are unstable over time.About:
This article is published in Journal of International Money and Finance.The article was published on 1995-02-01. It has received 1998 citations till now. The article focuses on the topics: Conditional variance & Covariance and correlation.read more
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No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.
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No Contagion, Only Interdependence: Measuring Stock Market Co-Movements
TL;DR: In this article, the authors examined stock market co-movements and applied these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash.
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Extreme Correlation of International Equity Markets
François Longin,Bruno Solnik +1 more
TL;DR: This article showed that correlation is not related to market volatility per se but to the market trend and that correlation increases in bear markets, but not in bull markets, and they also showed that the distribution of extreme correlation for a wide class of return distributions can be derived using extreme value theory.
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Multivariate GARCH Models: A Survey
TL;DR: In this article, the most important developments in multivariate ARCH-type modeling are surveyed, including model specifications, inference methods, and the main areas of application in financial econometrics.
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International Asset Allocation With Regime Shifts
Andrew Ang,Geert Bekaert +1 more
TL;DR: In this article, a dynamic portfolio choice problem of a U.S. investor faced with a time-varying investment opportunity set modeled using a regime-switching process is solved.
References
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Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.
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Multivariate Simultaneous Generalized ARCH
TL;DR: In this paper, a new parameterization of the multivariate ARCH process is proposed and equivalence relations are discussed for the various ARCH parameterizations, and conditions suffcient to guarantee the positive deffniteness of the covariance matrices are developed.
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ARCH modeling in finance: A review of the theory and empirical evidence
TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
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Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.
TL;DR: In this article, a multivariate time series model with time varying conditional variances and covariances but with constant conditional correlations is proposed, which is readily interpreted as an extension of the seemingly unrelated regression (SUR) model allowing for heteroskedasticity.