Search CORE

5 research outputs found

International Market Correlation and Volatility

Author: Boucrelle Cyril
Fur Yann Le
Solnik Bruno H
Publication venue
Publication date: 01/01/1996
Field of study

Hong Kong University of Science and Technology Institutional Repository

International market correlation and volatility

Author: Boucrelle Cyril
Chambre de Commerce et d'Industrie de Paris 78 - Jouy-en-Josas (France). Groupe HEC
Le Fur Yan
Solnik Bruno
Publication venue
Publication date: 01/01/1996
Field of study

SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 4293 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc

OpenGrey Repository

Are the Gains from International Portfolio Diversification Exaggerated? The Influence of Downside Risk in Bear Markets

Author: A Ang
Australia-World
B H Boyer
B Solnik
Boucrelle Solnik
C B Erb
Domingo C. Joaquin
F Longin
F Longin
F Longin
G Bekaert
Gibson Boyer
K H Bae
K V Mardia
Kirt C. Butler
P Cizeau
R A J Pownall
R Campbell
R F Engle
R F Engle
R Roll
R Y Bollerslev
See Ang
Swiss-Europe
T Bo Llerslev
T Bollerslev
T Bollerslev
Publication venue: 'Elsevier BV'
Publication date: 01/01/2000
Field of study

Crossref

US Implied Volatility as A predictor of International Returns

Author: Aggarwal R Inclan C, Leal R
Agmon T Lessard DR
Ball CA Torous WN
Basu S
Bollerslev T
Campbell JY Shiller RJ
Campbell JY Yogo M
Choi JJ
Christensen BJ Prabhala NR
Fama EF
Fama EF French KR
Geweke J
Goetzmann WN Kumar A
Grauer RR Hakansson NH
Hansen PR Lunde A
Hjalmarsson E
Horne JCV Parker GG
Jaffe J Keim DB, Westerfield R
Jensen MC Benington GA
Levy H Lerman Z
Levy RA
Lewellen J
Morana C Beltratti A
Nance DR Smith CW, Smithson CW
Poterba JM Summers LH
Ramchand L Susmel R
Rapach DE Strauss JK, Zhou G
Rogers RC
Sarwar G
Solnik B Boucrelle C, Fur YL
Solnik B Noetzlin B
Solnik BH
Zellner A
Publication venue: 'American Institute of Mathematical Sciences (AIMS)'
Publication date: 01/01/2017
Field of study

Crossref

Applications of random-matrix theory and nonparametric change-point analysis to three notable systemic crises

Author: Anderson TW
Andersson E Bock D, Fris´en M
Andrews DWK Lee I, Ploberger W
Ang A Chen J
Biely C Thurner S
Billio M Getmansky M, Lo AW, et al.
Bouchaud JP Potters M
Chen J Gupta AK
Chordia T Swaminathan B
Cizeau P Potters M, Bouchaud JP
Conlon T Ruskin HJ, Crane M
Constantine AG
Daniel K Moskowitz T
Davis RA Pfa_el O, Stelzer R
Dimson E
Dro˙zd˙z S Grumer F, Ruf F, et al.
Edelman A Rao NR
Geman S
Gopikrishnan P Rosenov B, Plerou V, et al.
Granger CWJ
Jin B Wang C, Miao B, et al.
Jobst AA
Kritzman M Li Y, Page S, et al.
Kwiatkowski D Phillips P, Schmidt P, et al.
Laloux L Cizeau P, Bouchaud JP
Laloux L Cizeau P, Potters M, et al.
Lequeux P Menon M
Liu H Aue A, Debashis P
Liu S Yamada M, Collier N, et al.
Marˇcenko VA Pastur LA
Moustakides GV
Newey WK West KD
Page ES
Petterson M
Petzold M Sonesson C, Bergman E, et al.
Phillips P Perron P
Plerou V Gopikrishnan P, Rosenow B, et al.
Pukthuanthong K Berger D
Pukthuanthong K Roll R
Silverstein JW
Silverstein JW
Solnik B Boucrelle C, Le Fu Y
Tartakovsky AG Rozovskii BL, Blazek RB, et al.
Tracy CA Widom H
White H
Wigner EP
Publication venue: 'American Institute of Mathematical Sciences (AIMS)'
Publication date: 01/01/2018
Field of study

Crossref