Economic Systems · 2014 · 177 citations · 53 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisCapital MarketsEquity MarketsIslamStock MarketsCo-jump DetectionContemporary Islamic FinanceCorrelation DynamicsEquity Trend AnalysisStock Market IntegrationStock Market ReturnsTime-varying Stocks
53
Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations
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Markus K. Brunnermeier, Lasse Heje Pedersen · Review of Financial Studies · 2008 · 4.9K citations