create a website

From banking integration to housing market integration - Evidence from the comovement of U.S. Metropolitan House Prices. (2021). Choi, Chi-Young ; Hansz, Andrew J.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000437.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 63

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aguirregabiria, Victor, Clark, Robert, Wang, Hui, 2020. The geographic flow of bank funding and access to credit: branch networks, local synergies and competition. Working Paper, Queenas University.
    Paper not yet in RePEc: Add citation now
  2. Andrés, Alegría ; Cowan, Kevin ; García, Pablo Spillovers and relationships in cross border banking: the case of Chile. 2018 J. Financ. Stab.. 39 259-272
    Paper not yet in RePEc: Add citation now
  3. Andrew, Ang ; Timmermann, Allan Regime changes and financial markets. 2012 Annu. Rev. Financ. Econ.. 4 313-333

  4. Atif, Mian ; Sufi, Amir The consequences of mortgage credit expansion: evidence from the U.S. mortgage default crisis. 2009 Q. J. Econ.. 124 1449-1496

  5. Augustin, Landier ; Sraer, David ; Thesmar, David Banking integration and house price co-movement. 2017 J. Financ. Econ.. 125 1-25

  6. Berrospide, Jose M. ; Lamont K, Black ; Keeton, William R. The cross-market spillover of economic shocks through multimarket banks. 2016 J. Money, Credit Bank.. 48 957-988

  7. Biswas, Swarnava S. ; Gómez, Fabiana Contagion through common borrowers. 2018 J. Financ. Stab.. 39 125-132

  8. Brunnermeier, Markus K. Deciphering the liquidity and credit crunch 2007-2008. 2009 J. Econ. Perspect.. 23 77-100

  9. Chiang, Thomas C. ; Jeon, Bang Nam ; Li, Huimin Dynamic correlation analysis of financial contagion: evidence from Asian markets. 2007 J. Int. Money Financ.. 26 1206-1228

  10. Choi, Chi-Young ; Choi, Horag ; Chudik, Alexander Regional inequality in the U.S.: evidence from city-level purchasing power. 2020 J. Reg. Sci.. 60 738-774
    Paper not yet in RePEc: Add citation now
  11. Choi, Chi-Young ; Murphy, Anthony ; Wu, Jyh-Lin Segmentation of consumer markets in the U.S.: what so the U.S. retail prices tell us?. 2017 Can. J. Econ.. 50 738-777
    Paper not yet in RePEc: Add citation now
  12. Cox, Josue, Ludvigson, Sydney C., 2021. Drivers of the Great Housing Boom-bust: Credit Conditions, Beliefs, or Both? Real Estate Economics, forthcoming.

  13. Davidoff, Thomas Supply constraints are not valid instrumental variables for home prices because they are correlated with many demand factors. 2016 Crit. Financ. Rev.. 5 177-206

  14. Demyanyk, Yuliya ; Ostergaard, Charlotte ; Sørensen, Bent E. U.S. banking deregulation, small businesses, and interstate insurance of personal income. 2007 J. Financ.. 62 2763-2801

  15. Duca, John V. ; Muellbauer, John ; Murphy, Anthony House prices and credit constraints: making sense of the US experience. 2011 Econ. J.. 121 533-551

  16. Duca, John V. ; Muellbauer, John ; Murphy, Anthony Housing markets and the financial crisis of 2007-2009: lessons for the future. 2010 J. Financ. Stab.. 6 203-217

  17. Duca, John V., Muellbauer, John Murphy,Anthony, 2020. What Drives House Price Cycles? International Experience and Policy Issues.Journal of Economic Literature, forthcoming.
    Paper not yet in RePEc: Add citation now
  18. Egan, Mark ; Hortacsu, Ali ; Matvos, Gregor Deposit competition and financial fragility: evidence from the US banking sector. 2017 Am. Econ. Rev.. 107 169-216

  19. Elena, Loutskina ; Strahan, Philip E. Financial integration, housing, and economic volatility. 2015 J. Financ. Econ.. 115 25-41

  20. Elena, Loutskina ; Strahan, Philip E. Securitization and the declining impact of bank finance on loan supply: evidence from mortgage originations. 2009 J. Financ.. 64 861-889

  21. Favilukis, Jack, Kohn, David, Ludvigson, Sydney C., Van Nieuwerburgh, Stijn, 2012. International Capital Flows and House Prices: Theory and Evidence. NBER Working Paper No. 17751, National Bureau of Economic Research.

  22. Fligstein, Neil, Goldstein, Adam, 2011. Catalyst of Disaster: Subprime Mortgage Securitization and the Roots of the Great Recession. IRLE Working Paper No. 113–12, University of California, Berkeley.

  23. Forbes, Kristin J. ; Rigobon, Roberto No contagion, only interdependence: measuring stock market comovements. 2002 J. Financ.. 5 2223-2261
    Paper not yet in RePEc: Add citation now
  24. Georgescu, Oana-Maria Contagion in the interbank market: funding versus regulatory constraints. 2015 J. Financ. Stab.. 18 1-18

  25. Gilje, Erik P. Does local access to finance matter? Evidence from U.S. Oil and Natural Gas Shale Booms. 2019 Manag. Sci.. 65 1-18

  26. Gilje, Erik P. ; Loutskina, Elena ; Strahan, Philip E. Exporting liquidity: branch banking and financial integration. 2016 J. Financ.. 71 1159-1183

  27. Giovanni, Favara ; Imbs, Jean Credit supply and the price of housing. 2015 Am. Econ. Rev.. 105 958-992

  28. Glaeser, Edward L. ; Nathanson, Charles G. An extrapolative model of house price dynamics. 2017 J. Financ. Econ.. 126 147-170

  29. Goetz, Martin R. Competition and bank stability. 2018 J. Financ. Inter.. 35 57-69

  30. Goodman, Allen C. ; Thibodeau, Thomas G. Housing market segmentation. 1998 J. Hous. Econ.. 7 121-143

  31. Greg, Kaplan ; Mitman, Kurt ; Violante, Giovanni L. The housing boom and bust: model meets evidence. 2020 J. Political Econ.. 128 3285-3345

  32. Guren, Adam M. , McKay, Alisdair, Nakamura, Emi, Steinsson, Jon, 2020. Housing Wealth Effects: The Long View.Review of Economic Studies, forthcoming.

  33. Gyourko, Joseph ; Saiz, Albert ; Summers, Anita A new measure of the local regulatory environment for housing markets: the Wharton Residential Land Use Regulatory Index. 2008 Urban Stud.. 45 693-729

  34. Hernández-Murillo, Rubén ; Owyang, Michael T. ; Rubio, Margarita Clustered housing cycles. 2017 Reg. Sci. Urban Econ.. 66 185-197

  35. Hirata, Hideaki, Ayhan Kose, M. , Otrok, Christopher, and Terrones, Marco E., 2012. Global House Price Fluctuations: Synchronization and Determinants. NBER Working Paper No. 18362, National Bureau of Economic Research.

  36. Hong, Miao ; Ramchander, Sanjay ; Simpson, Marc W. Return and volatility transmission in US Housing Markets. 2011 Real. Estate Econ.. 39 701-741

  37. Hwang, Min ; Quigley, John M. Economic fundamentals in local housing markets: evidence from U.S. Metropolitan Regions. 2006 J. Reg. Sci.. 46 425-453

  38. Imai, Masami ; Imai, Seitaro Bank integration and transmission of financial shocks: evidence from Japan. 2011 Am. Econ. J.: Macroecon.. 3 155-183

  39. Joe, Peek ; Rosengren, Eric S. Collateral damage: effects of the Japanese bank crisis on real activity in the United States. 2000 Am. Econ. Rev.. 90 30-45

  40. John, Cotter ; Gabriel, Stuart ; Roll, Richard Can housing risk be diversified? A cautionary tale from the housing boom and bust. 2015 Rev. Financ. Stud.. 28 913-936

  41. Joseph, Gyourko ; Mayer, Christopher ; Sinai, Todd Superstar cities. American economic. 2013 J.: Econ. Policy. 5 167-199

  42. Justiniano, Alejandro, Primiceri, Giorgio E., Tambalotti, Andrea, 2015. Credit Supply and the Housing Boom. Staff Report No. 709, Federal Reserve Bank of New York.

  43. Kalemli-Ozcan, Sebnem ; Papaioannou, Elias ; Peydro, Jose-Luis Financial regulation, financial globalization, and the synchronization of economic activity. 2013 J. Financ.. 68 1179-1228

  44. Kallberg, Jarl G. ; Crocker, H.Liu ; Pasquariello, Paolo On the price comovement of U.S. Residential Real Estate Markets. 2014 Real. Estate Econ.. 42 71-108

  45. Keys, Benjamin J. ; Mukherjee, Tanmoy ; Seru, Amit ; Vig, Vikrant Did securitization lead to lax screening? Evidence from subprime loans. 2010 Q. J. Econ.. 125 307-362

  46. Kose, M. Ayhan ; Otrok, Christopher ; Whiteman, Charles H. International business cycles: world, region and country specific factors. 2003 Am. Econ. Rev.. 93 1216-1239

  47. Loutskina, Elena The role of securitization in bank liquidity and funding management. 2011 J. Financ. Econ.. 100 663-684

  48. Marco, Del Negro ; Otrok, Christopher 99 Luftballons: monetary policy and the house price boom across U.S. States. 2007 J. Monet. Econ.. 54 1962-1985

  49. Massimiliano, Affinito ; Tagliaferri, Edoardo Why do (or did?) banks securitize their loans? Evidence from Italy. 2010 J. Financ. Stab.. 6 189-202

  50. McCracken, Michael W. ; Ng, Serena FRED-MD: a monthly database for macroeconomic research. 2016 J. Bus. Econ. Stat.. 34 574-589

  51. Mian, Atif, Sufi, Amir, 2018. Credit Supply and Housing Speculation. NBER Working Papers No. 24823, National Bureau of Economic Research.

  52. Milonas, Kristoffer The effect of foreclosure laws on securitization: evidence from U.S. States. 2017 J. Financ. Stab.. 33 1-22

  53. Morgan, Donald P. ; Rime, Bertrand ; Strahan, Philip E. Bank integration and state business cycles. 2004 Q. J. Econ.. 119 1555-1584

  54. Morrison, Donald F. Applied Linear Statistical Methods. 1983 Prentice-Hall, Inc.: New Jersey
    Paper not yet in RePEc: Add citation now
  55. Nagaraja, Chaitra H., Lawrence D.Browny, and Susan M. Wachter, 2010. House Price Index Methodology. mimeo, The Wharton School, University of Pennsylvania.

  56. Paciorek, Andrew Supply constraints and housing market dynamics. 2013 J. Urban Econ.. 77 11-26

  57. Pasquariello, Paolo Imperfect competition, information heterogeneity, and financial contagion. 2007 Rev. Financ. Stud.. 20 391-426

  58. Petkov, Ivan, 2017. Small Business Lending and the Bank-Branch Network. mimeo, Boston College.

  59. Rajan, Raghuram Fault Lines. 2010 Princeton University Press: Princeton, NJ
    Paper not yet in RePEc: Add citation now
  60. Saiz, Albert The geographic determinants of housing supply. 2010 Q. Econ. J.. 125 1253-1296

  61. Stijn, Van Nieuwerburgh ; Weill, Pierre-Olivier Why has house price dispersion gone up?. 2010 Rev. Econ. Stud.. 77 1567-1606

  62. Tara, Rice ; Strahan, Philip E. Does credit competition affect small-firm finance?. 2010 J. Financ.. 65 861-889

  63. Zhu, Bing ; Füss, Roland ; Rottke, Nico B. Spatial linkages in returns and volatilities among US regionalhousing markets. 2013 Real. Estate Econ.. 41 29-64

Cocites

Documents in RePEc which have cited the same bibliography

  1. Liquidity regimes and optimal dynamic asset allocation. (2020). Daniel, Kent ; Collin-Dufresne, Pierre ; Salam, Mehmet.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:136:y:2020:i:2:p:379-406.

    Full description at Econpapers || Download paper

  2. On the bail-out dividend problem for spectrally negative Markov additive models. (2020). Yu, Xiang ; Noba, Kei ; Jos'e-Luis P'erez, .
    In: Papers.
    RePEc:arx:papers:1901.03021.

    Full description at Econpapers || Download paper

  3. International equity markets interdependence: bigger shocks or contagion in the 21st century?. (2019). Trecroci, Carmine ; Bua, Giovanna.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:155:y:2019:i:1:d:10.1007_s10290-018-0325-5.

    Full description at Econpapers || Download paper

  4. Multi-period portfolio selection with drawdown control. (2019). Boyd, Stephen ; Nystrup, Peter ; Madsen, Henrik ; Lindstrom, Erik.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2947-3.

    Full description at Econpapers || Download paper

  5. Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles.
    In: MPRA Paper.
    RePEc:pra:mprapa:94154.

    Full description at Econpapers || Download paper

  6. The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes. (2019). Tabor, Morten ; Rahbek, Anders ; Johansen, Soren ; Frydman, Roman.
    In: Discussion Papers.
    RePEc:kud:kuiedp:1902.

    Full description at Econpapers || Download paper

  7. Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. (2019). Zhang, Yue-Jun ; He, Ling-Yun ; Yao, Ting ; Ripple, Ronald.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:302-317.

    Full description at Econpapers || Download paper

  8. Forecasting base metal prices with the Chilean exchange rate. (2019). Pincheira, Pablo ; Hardy, Nicolas ; Brown, Pablo Pincheira.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:256-281.

    Full description at Econpapers || Download paper

  9. Option pricing under regime-switching models: Novel approaches removing path-dependence. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:87:y:2019:i:c:p:130-142.

    Full description at Econpapers || Download paper

  10. A characterization of CAT bond performance indices. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:28:y:2019:i:c:p:431-437.

    Full description at Econpapers || Download paper

  11. Modeling local trends with regime shifting models with time-varying probabilities. (2019). Focardi, Sergio M ; Fabozzi, Frank J ; Mazza, Davide.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x.

    Full description at Econpapers || Download paper

  12. Asymptotic properties of the maximum likelihood estimator in regime switching econometric models. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:442-467.

    Full description at Econpapers || Download paper

  13. Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

    Full description at Econpapers || Download paper

  14. A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing. (2019). Zeng, Xiao-Jun ; Dawson, Paul A ; Keane, John ; Yau, Jeffrey ; Fons, Elizabeth.
    In: Papers.
    RePEc:arx:papers:1902.10849.

    Full description at Econpapers || Download paper

  15. A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine.
    In: Papers.
    RePEc:arx:papers:1712.08329.

    Full description at Econpapers || Download paper

  16. Dynamic portfolio optimization across hidden market regimes. (2018). Nystrup, Peter ; Madsen, Henrik ; Lindstrom, Erik.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:18:y:2018:i:1:p:83-95.

    Full description at Econpapers || Download paper

  17. Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach. (2018). Owusu Junior, Peterson ; Korkpoe, Carl H.
    In: SPOUDAI Journal of Economics and Business.
    RePEc:spd:journl:v:68:y:2018:i:1:p:26-42.

    Full description at Econpapers || Download paper

  18. Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models. (2018). Chappell, Daniel.
    In: MPRA Paper.
    RePEc:pra:mprapa:90682.

    Full description at Econpapers || Download paper

  19. Regime shifts and stock return predictability. (2018). Hammerschmid, Regina ; Lohre, Harald.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:56:y:2018:i:c:p:138-160.

    Full description at Econpapers || Download paper

  20. Hidden Markov model analysis of extreme behaviors of foreign exchange rates. (2018). Liu, Wei-Han.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:503:y:2018:i:c:p:1007-1019.

    Full description at Econpapers || Download paper

  21. Liquidity Regimes and Optimal Dynamic Asset Allocation. (2018). Daniel, Kent ; Collin-Dufresne, Pierre ; Saglam, Mehmet.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12737.

    Full description at Econpapers || Download paper

  22. Linear and nonlinear predictability in investment style factors: multivariate evidence. (2017). Guidolin, Massimo ; Chincoli, Francesco.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:18:y:2017:i:6:d:10.1057_s41260-017-0048-5.

    Full description at Econpapers || Download paper

  23. A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Pigato, Paolo ; Lejay, Antoine.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01669082.

    Full description at Econpapers || Download paper

  24. Forces for change in higher education and implications for the accounting academy. (2017). Lawson, Raef A ; Stocks, Kevin D ; Pincus, Karen V ; Sorensen, James E ; Stout, David E.
    In: Journal of Accounting Education.
    RePEc:eee:joaced:v:40:y:2017:i:c:p:1-18.

    Full description at Econpapers || Download paper

  25. Identifying and measuring the contagion channels at work in the European financial crises. (2017). Pedio, Manuela ; Guidolin, Massimo.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:117-134.

    Full description at Econpapers || Download paper

  26. Nonlinear manifold learning for early warnings in financial markets. (2017). Peng, YI ; Huang, Yan ; Kou, Gang.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:258:y:2017:i:2:p:692-702.

    Full description at Econpapers || Download paper

  27. Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

    Full description at Econpapers || Download paper

  28. Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre.
    In: Working Papers.
    RePEc:bde:wpaper:1731.

    Full description at Econpapers || Download paper

  29. Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp1754.

    Full description at Econpapers || Download paper

  30. International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?. (2016). Trecroci, Carmine ; Bua, Giovanna.
    In: MPRA Paper.
    RePEc:pra:mprapa:74771.

    Full description at Econpapers || Download paper

  31. Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation. (2016). Nystrup, Peter ; Madsen, Henrik ; Lindstrom, Erik ; William, BO.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:17:y:2016:i:5:d:10.1057_jam.2016.12.

    Full description at Econpapers || Download paper

  32. Macroeconomic Regimes and Regime Shifts. (2016). Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21863.

    Full description at Econpapers || Download paper

  33. Identifying and Measuring the Contagion Channels at Work in the European Financial Crises. (2016). Pedio, Manuela.
    In: Working Papers.
    RePEc:igi:igierp:586.

    Full description at Econpapers || Download paper

  34. Macroeconomic Regimes and Regime Shifts. (2016). Hamilton, J D.
    In: Handbook of Macroeconomics.
    RePEc:eee:macchp:v2-163.

    Full description at Econpapers || Download paper

  35. A note on optimal portfolios under regime–switching. (2016). Haas, Markus.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:19:y:2016:i:c:p:209-216.

    Full description at Econpapers || Download paper

  36. Methods for measuring expectations and uncertainty in Markov-switching models. (2016). Bianchi, Francesco.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:190:y:2016:i:1:p:79-99.

    Full description at Econpapers || Download paper

  37. A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

    Full description at Econpapers || Download paper

  38. A discussion on the innovation distribution of the Markov regime-switching GARCH model. (2016). Shi, Yanlin ; Feng, Lingbing.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:53:y:2016:i:c:p:278-288.

    Full description at Econpapers || Download paper

  39. PRICING CDSS AND CDS OPTIONS UNDER A REGIME-SWITCHING CEV PROCESS WITH JUMP TO DEFAULT. (2016). Xu, Ruxing ; Yi, Ronghua ; Wu, Dan.
    In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH.
    RePEc:cys:ecocyb:v:50:y:2016:i:1:p:253-271.

    Full description at Econpapers || Download paper

  40. Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change. (2016). Zhang, Zhichao ; Dai, Yang ; Dixon, Robert.
    In: Review of International Economics.
    RePEc:bla:reviec:v:24:y:2016:i:5:p:875-892.

    Full description at Econpapers || Download paper

  41. The Dynamics of Capital Flow Episodes. (2016). Guérin, Pierre ; Friedrich, Christian ; Guerin, Pierre.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-9.

    Full description at Econpapers || Download paper

  42. The elusive nature of motives to trade: Evidence from international stock markets. (2015). Serwa, Dobromił ; Gebka, Bartosz ; Gbka, Bartosz.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:147-157.

    Full description at Econpapers || Download paper

  43. Understanding the common dynamics of the emerging market currencies. (2015). Tekatli, Necati ; Chadwick, Meltem ; Fazilet, Fatih .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:49:y:2015:i:c:p:120-136.

    Full description at Econpapers || Download paper

  44. Financial instability and the short-term dynamics of volatility expectations. (2014). Holmes, Mark ; Maghrebi, Nabil ; Oya, Kosuke.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:24:y:2014:i:6:p:377-395.

    Full description at Econpapers || Download paper

  45. Global portfolio management under state dependent multiple risk premia. (2014). Angelidis, Timotheos ; Tessaromatis, Nikolaos.
    In: Proceedings of Economics and Finance Conferences.
    RePEc:sek:iefpro:0400966.

    Full description at Econpapers || Download paper

  46. Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand. (2014). Yang, Lu ; Hamori, Shigeyuki.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:26:y:2014:i:c:p:145-155.

    Full description at Econpapers || Download paper

  47. Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities. (2014). Zhou, Yinggang.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:216-228.

    Full description at Econpapers || Download paper

  48. Extreme-quantile tracking for financial time series. (2014). Chavez-Demoulin, V. ; Sardy, S. ; Embrechts, P..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:181:y:2014:i:1:p:44-52.

    Full description at Econpapers || Download paper

  49. Optimal Portfolio Choice under Decision-Based Model Combinations. (2014). Ravazzolo, Francesco ; Pettenuzzo, Davide.
    In: Working Papers.
    RePEc:brd:wpaper:80.

    Full description at Econpapers || Download paper

  50. Forecasting Stock Returns. (2013). Zhou, Guofu ; Rapach, David.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-328.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 01:58:25 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.