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Journal of Banking and Finance, ISSN 0378-4266, 2011, Volume 35, Issue 1, pp. 130 - 141
The paper examines the extent of the current global crisis and the contagion effects it induces by conducting an empirical investigation of the extreme... 
BRIC emerging markets | Extreme comovements | Copula approach | Global financial crisis | PORTFOLIOS | RETURNS | RISK | DEPENDENCE | BUSINESS, FINANCE | COPULAS | MODELS | EQUITY MARKETS | STOCK MARKETS | ECONOMICS | Extreme comovements Copula approach BRIC emerging markets Global financial crisis | Analysis | Economic indicators | Contagion effects
Journal Article
The American Economic Review, ISSN 0002-8282, 5/2011, Volume 101, Issue 3, pp. 222 - 226
This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, we demonstrate that equity... 
Income inequality | Market prices | Art objects | Equity capital | Equity | Income shares | ECONOMICS OF THE ARTS | Price indices | Stock markets | Art periods | Arts | ECONOMICS | PRICES | INVESTMENT | Art industry | Prices and rates | Stock-exchange | Influence | Art | Research | Studies | Prices | Economic theory | Analysis | Securities markets | Business administration | domain_shs.gestion.fin | Humanities and Social Sciences
Journal Article
Energy Economics, ISSN 0140-9883, 09/2011, Volume 33, Issue 5, pp. 948 - 955
This paper examines the dependence structure between crude oil benchmark prices using copulas. By considering several copula models with different conditional... 
Crude oil prices | Copulas | Tail dependence | Co-movement | EGARCH MODELS | GARCH MODELS | COMOVEMENTS | REGIONALIZATION | INTERNATIONAL EQUITY MARKETS | ECONOMICS | VOLATILITY | DEPENDENCE | Crude oil prices Copulas Tail dependence Co-movement
Journal Article
Handbook of Statistics, ISSN 0169-7161, 2019
This chapter provides a survey of various multivariate GARCH specifications that model the temporal dependence in the second moment of multivariate return... 
Volatility | Distribution | Time series | Comovement
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 08/2017, Volume 480, pp. 10 - 21
This paper employs Chi-plots, Kendall (K)-plots and three different copula functions to empirically examine the tail dependence between the US stock market and... 
Chi-plots | Copulas | Contagion | K-plots | Crises | Comovement | PHYSICS, MULTIDISCIPLINARY | RETURNS | RISK | INTERDEPENDENCE | OIL PRICES | DEPENDENCE | TRANSMISSION | COMOVEMENTS | GLOBAL FINANCIAL CRISIS | CO-MOVEMENT | EQUITY MARKETS | Subprime loans | Stocks | Stock markets
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 9/2007, Volume 20, Issue 5, pp. 1547 - 1581
We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up, and... 
Economic models | Gaussian distributions | Investors | Covariance | Correlations | P values | Price momentum | Statistical tests | Financial portfolios | Parametric models | BUSINESS, FINANCE | ASSET-ALLOCATION | COMOVEMENTS | PERSPECTIVE | EQUITY MARKETS | COVARIANCE-MATRIX ESTIMATION | CONTAGION | AVERSION | VOLATILITY | Studies | Correlation analysis | Stocks | Investment policy | Rates of return | Economic impact | Beta
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 2009, Volume 16, Issue 4, pp. 632 - 639
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 12/2012, Volume 25, Issue 12, pp. 3711 - 3751
International equity markets are characterized by nonlinear dependence and asymmetries. We propose a new dynamic asymmetric copula model to capture long-run... 
Time dependence | Economic models | Correlations | Emerging markets | Parametric models | Stock markets | Financial portfolios | Modeling | Portfolio diversification | Dynamic modeling | BUSINESS, FINANCE | MODELS | INTEGRATION | STOCK RETURN COMOVEMENTS | G12 | RISK | TIME | ECONOMICS | EMERGING EQUITY MARKETS | VOLATILITY | WORLD | DEPENDENCE
Journal Article
Economics Letters, ISSN 0165-1765, 11/2017, Volume 160, pp. 29 - 32
This note studies a parsimonious dynamic stochastic general equilibrium model driven by demand shocks to explain two central puzzles in open-economy... 
Demand shocks | Comovement puzzle | Backus–Smith puzzle | International business cycles | Backus-Smith puzzle | TRADE | COMOVEMENTS | NONTRADED GOODS | FORCE | REAL EXCHANGE-RATES | ECONOMICS | CONSUMPTION | Business cycles | Analysis
Journal Article
Management Science, ISSN 0025-1909, 8/2017, Volume 63, Issue 8, pp. 2667 - 2687
Journal Article
Journal of Business Research, ISSN 0148-2963, 11/2018, Volume 92, pp. 260 - 269
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2011, Volume 101, Issue 1, pp. 227 - 242
We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that... 
Market integration | International equity markets | International diversification | Frontier markets | BUSINESS, FINANCE | COMOVEMENTS | INTEGRATION | EQUITY MARKETS | TIME | ECONOMICS | Frontier markets International equity markets Market integration International diversification
Journal Article
Management Science, ISSN 0025-1909, 9/2017, Volume 63, Issue 9, pp. 2847 - 2867
Journal Article
The Review of Economics and Statistics, ISSN 0034-6535, 8/2009, Volume 91, Issue 3, pp. 558 - 585
This paper examines the mechanisms through which output volatility is related to trade openness using an industry-level panel data set of manufacturing... 
Manufacturing industries | Trade | Statistical variance | International trade | Economic fluctuations | Manufacturing output | Trade development | Arithmetic mean | Coefficients | Gross domestic product | Economic aspects | Analysis | Manufacturing industry | Volatility (Finance)
Journal Article
The Journal of Finance, ISSN 0022-1082, 8/2016, Volume 71, Issue 4, pp. 1511 - 1555
We analyze how institutional investors entering commodity futures markets, referred to as the financialization of commodities, affect commodity prices.... 
Economic models | Investors | Economic indices | Market prices | Commodities | Supply | Financial economics | Stock markets | Commodity prices | Commodity futures | FUTURES PRICES | RATES | BUSINESS, FINANCE | FUNDAMENTALS | COMOVEMENT | MARKETS | RISK PREMIA | ECONOMICS | ASSET PRICES | CURVES | Commodity markets | Spot market | Commodity price indexes | Analysis
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 09/2016, Volume 121, Issue 3, pp. 624 - 644
Evidence of excessive comovement among stocks following index additions (Barberis, Shleifer, and Wurgler, 2005) and stock splits (Green and Hwang, 2009)... 
Time-varying betas | Market efficiency | Asset class demand | Nonfundamental comovement | PRICES | MOMENTUM | INVESTOR SENTIMENT | RISK | CROSS-SECTION | STRATEGIES | STOCK RETURNS | BUSINESS, FINANCE | ECONOMICS | EXCESS COMOVEMENT | Business schools | Seminars
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 2008, Volume 52, Issue 6, pp. 3011 - 3026
The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable... 
Spillover effect | Markov Switching | Comovements | Volatility | Multiple chains
Journal Article
International Review of Financial Analysis, ISSN 1057-5219, 10/2019, Volume 65, p. 101388
We present a model where bank assets are a portfolio of risky debt claims and analyze stockholders' risk-taking behavior while considering the strategic... 
Banks | Comovements | Risk taking | Zombie lending | Deposit insurance | CREDIT | BUSINESS, FINANCE | STRESS | DEBT
Journal Article