Concepedia

Financial integration between sukuk and bond indices of emerging markets: Insights from wavelet coherence and multivariate-GARCH analysis

Rubaiyat Ahsan Bhuiyan, Maya Puspa Rahman, Buerhan Saiti, Gairuzazmi Mat Ghani

Borsa Istanbul Review · 2017 · 59 citations · 38 references

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References

38

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.6K citations · Full text

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Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 6.9K citations

, , +15

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

Tim Bollerslev · The Review of Economics and Statistics · 1990 · 3.5K citations

, , +16

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Lorenzo Cappiello, Robert F. Engle, Keith Sheppard · Journal of Financial Econometrics · 2006 · 1.7K citations · Full text

, , +16

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations

Yiu‐Kuen Tse, Albert K. Tsui · Journal of Business and Economic Statistics · 2002 · 1.2K citations

, , +18