Does Correlation Between Stock Returns Really Increase During Turbulent Periods
By F. Chesnay, Eric Jondeau. 2001
150 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ff2d62714333e0896ed65db451d3879930063125
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Michael Rockinger
- Eric Jondeau
- Annastiina Silvennoinen
- Timo Teräsvirta
- Ariane Chapelle
- A. Szafarz
- Andrew J. Patton
- Luiz Koodi Hotta
In Finance
- Timo Teräsvirta
- Michael Rockinger
- Eric Jondeau
- Annastiina Silvennoinen
- Ariane Chapelle
- Andrew J. Patton
- Luiz Koodi Hotta
- Eric Zivot
Citations in the corpus
- No contagion, only globalization and flight to quality (2012, background): “Contagion can be confused with globalization since both have a tendency to increase correlations among assets, especially during periods of high volatility coupled with bear markets (Chesnay and Jondeau, 2001; Longin and Solnik, 1995, 2001; Silvapulle and Granger, 2001).”
- Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model (2009, unknown): “It is often found, see for instance Lin, Engle, and Ito (1994), de Santis and Gerard (1997), Longin and Solnik (2001), Chesnay and Jondeau (2001), and Cappiello, Engle, and Sheppard (2006), that the correlations between stock indices behave differently in times of distress from what they do during p”
- Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005, methodology): “Multivariate financial data has been subject to many modelling proposals incorporating conditional heteroskedasticity originally introduced by Engle (1982) in univariate context; see Bauwens, Laurent, and Rombouts (2003) for a recent review.”
- The Copula-GARCH model of conditional dependencies: An international stock market application (2006, background): “In addition, in the Markov-switching context, Chesnay and Jondeau (2001) have tested for a constant correlation between stock returns, while allowing for Student-t innovations.1 For most types of univariate distributions, however, it is simply impossible to specify a multivariate extension that…”