Asset allocation; bond market; volatility; portfolio management;

Brière, Marie

Szafarz, Ariane

English

Research Papers in Economics

A review of financial markets events in Autumn

A stress test to incorporate correlation breakdown&quot;,

A test for constant correlations in a multivariate GARCH model&quot;,

An asymptotic chi-square test for the equality of two correlation matrices&quot;,

Asset market linkages in crisis periods&quot;, Tinbergen Institute Discussion Papers 01-071/2,

Asymmetric correlation of stock returns: Statistical tests and economic evaluation&quot;, Working Paper,

Asymmetric volatility and risk in equity markets&quot;,

Bond market volatility compared to stock market volatility”,

Comovement in international equity markets: A sectoral view&quot;,

Contagion and causality: An empirical investigation of four Asian crisis episodes”,

Contagion in international bond markets during the Russian and the LTCM crises”,

Contagion: How to Measure It?”,

Correlation in international equity and currency markets: A risk adjusted perspective&quot;,

Dynamic Conditional Correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models”,

East Asia and Europe during the 1997 Asian collapse: A clinical study of a financial crisis&quot;,

Evaluating 'correlation breakdowns' during periods of market volatility&quot;,

Extreme correlation of international equity markets&quot;,

Financial market contagion in the Asian crisis”,

Flight to quality or contagion? An empirical analysis of stock-bond correlations”,

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market&quot;, working paper, HEC,

Global risk management: Are we missing the point?&quot;,

Government bond market seasonality, diversification and cointegration: International evidence&quot;,

How Regimes Affect Asset Allocation&quot;

International asset allocation with regime shifts&quot;,

International asset pricing and portfolio diversification with time-varying risk&quot;,

Is the Correlation in International equity returns constant: 1960-1990?&quot;,

Large returns, conditional correlation and portfolio diversification: A Value-at-Risk approach,&quot;,

Long-term global market correlations&quot;,

Market Efficiency versus Behavioral Finance”,

Market integration and contagion&quot;,

No contagion, only interdependence: Measuring stock market comovements”,

Optimal portfolios in good times and bad”,

Portfolios caam.com

Returns synchronization and daily correlation dynamics between international stock markets&quot;,

Stock and bond market interaction: Does momentum spill over?&quot;,

Stock market uncertainty and the relation between stock and bond returns&quot;, Federal Reserve Bank of Atlanta, Working paper no.

Stock market uncertainty and the stock-bond return relation&quot;,

Testing correlation stability during hectic financial markets”,

Testing for contagion: A conditional correlation analysis&quot;,

The asymptotic variance matrix of the sample correlation matrix&quot;, Linear Algebra and Its Applications,

The equity premium and market integration: Evidence from international data&quot;,

The response of financial markets in Australia and New Zealand to news about the Asian crisis”,

Weighting Function in the Behavioral Portfolio Theory&quot;,

What does Nasdaq's high-yield bond market reveal about bondholder-stockholder conflicts?&quot;, Financial Management,

What Triggers Market Jitters? A Chronicle of the Asian crisis”,

Crisis-Robust Bond Portfolios.

http://basepub.dauphine.fr/xmlui/bitstream/123456789/7748/1/Working_Paper_-_CRISIS_ROBUST_April2008.pdf

Crisis-Robust Bond Portfolios.

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Research Papers in Economics