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2. Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor. (2020). Ślepaczuk, Robert ; Micha, Latoszek.
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5. The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Christensen, Kim ; Posselt, Anders M.
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1. Optimal Versus Naive Diversification in Commodity Futures Markets. (2025). Schuhmacher, Frank ; Auer, Benjamin R ; Heide, Max.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:45:y:2025:i:1:p:3-22.

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2. Decoding financial markets: Empirical DGPs as the key to model selection and forecasting excellence – A proof of concept. (2025). Stanisic, Nikola ; Sharma, Abhishek ; Koji, Milena ; Vogl, Markus.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:666:y:2025:i:c:s0378437125001943.

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3. Assessment of Portfolio Credit Risk under Dynamic Default Correlation. (2025). Matveev, Aleksandr.
   In: Russian Journal of Money and Finance.
   RePEc:bkr:journl:v:84:y:2025:i:1:p:129-142.

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4. Improved robust price bounds for multi-asset derivatives under market-implied dependence information. (2024). Lütkebohmert, Eva ; Ansari, Jonathan ; Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00539-z.

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5. Core-satellite investing with commodity futures momentum. (2024). Stadtmuller, Immo ; Schuhmacher, Frank ; Auer, Benjamin R.
   In: Journal of Asset Management.
   RePEc:pal:assmgt:v:25:y:2024:i:3:d:10.1057_s41260-024-00352-5.

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6. Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation. (2023). Wang, Yanjie ; Zhang, Shunming ; Huang, Helen Hui.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4604-4626.

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7. From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom. (2023). Gottschalk, Sylvia.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2843-2873.

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8. Dynamic correlation and risk resonance among industries of Chinese stock market: New evidence from time–frequency domain and complex network perspectives. (2023). Li, Jiang-Cheng ; Zhong, Guang-Yan ; Tao, Chen.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:614:y:2023:i:c:s0378437123001139.

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9. Correlation scenarios and correlation stress testing. (2023). Packham, N ; Woebbeking, F.
   In: Journal of Economic Behavior & Organization.
   RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67.

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10. Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Wadud, Sania ; Lee, Seungho ; Durand, Robert B ; Gronwald, Marc.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844.

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11. Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framework. (2023). Vogl, Markus.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922010633.

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12. Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2023). Sester, Julian ; Ansari, Jonathan ; Lutkebohmert, Eva ; Neufeld, Ariel.
    In: Papers.
    RePEc:arx:papers:2204.01071.

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13. Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets. (2023). Mugrabi, Farah.
    In: LIDAM Discussion Papers LFIN.
    RePEc:ajf:louvlf:2023001.

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14. Forecasting risk measures based on structural breaks in the correlation matrix. (2022). Duan, Fang.
    In: Ruhr Economic Papers.
    RePEc:zbw:rwirep:945.

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15. Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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16. Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries. (2022). Kogid, Mori ; Lily, Jaratin ; Alin, James M ; Mulok, Dullah ; Asid, Rozilee.
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:56:y:2022:i:1:d:10.1007_s11135-021-01123-9.

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17. On the benefits of active stock selection strategies for diversified investors. (2022). Stadtmuller, Immo ; Schuhmacher, Frank ; Auer, Benjamin R.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:85:y:2022:i:c:p:342-354.

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18. Credit booms and crisis-emergent asset comovement: The problem of latent correlation. (2022). Giménez Roche, Gabriel ; Chibane, Messaoud ; Gimenez, Gabriel A ; Gabriel, Amadeus.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:85:y:2022:i:c:p:270-279.

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19. Change-point problems for multivariate time series using pseudo-observations. (2022). Bahraoui, Tarik ; Remillard, Bruno N ; Nasri, Bouchra R.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:187:y:2022:i:c:s0047259x21001354.

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20. Controversy in financial chaos research and nonlinear dynamics: A short literature review. (2022). Vogl, Markus.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006543.

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21. Correlation scenarios and correlation stress testing. (2022). Packham, N ; Woebbeking, F.
    In: Papers.
    RePEc:arx:papers:2107.06839.

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22. Correlation scenarios and correlation stress testing. (2021). Packham, Natalie ; Woebbeking, Fabian.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2021012.

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23. Estimating and forecasting dynamic correlation matrices: A nonlinear common factor approach. (2021). Yang, Yuhong ; Zhang, Yongli ; Rolling, Craig.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:183:y:2021:i:c:s0047259x20302918.

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24. Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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25. Cross-ownership as a structural explanation for rising correlations in crisis times. (2021). Bertschinger, Nils ; Araneda, Axel A.
    In: Papers.
    RePEc:arx:papers:2112.04824.

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26. Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection. (2020). Santos, Andre ; Ruiz, Esther ; Moura, Guilherme V.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301485.

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27. A self-normalization test for correlation change. (2020). Choi, Ji-Eun ; Shin, Dong Wan.
    In: Economics Letters.
    RePEc:eee:ecolet:v:193:y:2020:i:c:s016517651930045x.

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28. Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. (2020). Maouchi, Youcef ; Charfeddine, Lanouar ; Benlagha, Noureddine.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:85:y:2020:i:c:p:198-217.

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29. The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis. (2019). GUPTA, RANGAN ; Demirer, Riza ; DAS, SONALI ; Mangisa, Siphumlile.
    In: Working Papers.
    RePEc:pre:wpaper:201908.

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30. The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis. (2019). GUPTA, RANGAN ; Demirer, Riza ; DAS, SONALI ; Mangisa, Siphumlile.
    In: Structural Change and Economic Dynamics.
    RePEc:eee:streco:v:50:y:2019:i:c:p:132-147.

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31. A factor-model approach for correlation scenarios and correlation stress testing. (2019). Packham, N ; Woebbeking, C F.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

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32. A factor-model approach for correlation scenarios and correlation stress-testing. (2019). Packham, Natalie ; Woebbeking, Fabian.
    In: Papers.
    RePEc:arx:papers:1807.11381.

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33. Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities. (2018). GUPTA, RANGAN ; Demirer, Riza ; Twala, Zintle.
    In: Journal of Economics and Behavioral Studies.
    RePEc:rnd:arjebs:v:10:y:2018:i:2:p:120-132.

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34. Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities. (2018). GUPTA, RANGAN ; Demirer, Riza ; Twala, Zintle.
    In: Working Papers.
    RePEc:pre:wpaper:201808.

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35. Global risk aversion and emerging market return comovements. (2018). Omay, Tolga ; Demirer, Riza ; Yuksel, Aydin.
    In: Economics Letters.
    RePEc:eee:ecolet:v:173:y:2018:i:c:p:118-121.

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36. Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1763.

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